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Credit default swaps and regulatory capital relief

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Credit default swaps and regulatory capital relief. / Thornton, John; Di Tommaso, Caterina.
In: Finance Research Letters, Vol. 26, No. 9, 09.2018, p. 255-260 .

Research output: Contribution to journal › Article › peer-review

HarvardHarvard

Thornton, J & Di Tommaso, C 2018, 'Credit default swaps and regulatory capital relief', Finance Research Letters, vol. 26, no. 9, pp. 255-260 . https://doi.org/10.1016/j.frl.2018.02.008

APA

Thornton, J., & Di Tommaso, C. (2018). Credit default swaps and regulatory capital relief. Finance Research Letters, 26(9), 255-260 . https://doi.org/10.1016/j.frl.2018.02.008

CBE

Thornton J, Di Tommaso C. 2018. Credit default swaps and regulatory capital relief. Finance Research Letters. 26(9):255-260 . https://doi.org/10.1016/j.frl.2018.02.008

MLA

Thornton, John and Caterina Di Tommaso. "Credit default swaps and regulatory capital relief". Finance Research Letters. 2018, 26(9). 255-260 . https://doi.org/10.1016/j.frl.2018.02.008

VancouverVancouver

Thornton J, Di Tommaso C. Credit default swaps and regulatory capital relief. Finance Research Letters. 2018 Sept;26(9):255-260 . doi: 10.1016/j.frl.2018.02.008

Author

Thornton, John ; Di Tommaso, Caterina. / Credit default swaps and regulatory capital relief. In: Finance Research Letters. 2018 ; Vol. 26, No. 9. pp. 255-260 .

RIS

TY - JOUR

T1 - Credit default swaps and regulatory capital relief

AU - Thornton, John

AU - Di Tommaso, Caterina

PY - 2018/9

Y1 - 2018/9

N2 - In a sample of European banks, we find that credit defaults swaps (CDS) are used for regulatory arbitrage to lower capital requirements and facilitate greater risk taking. Moreover, CDS-using banks generate higher returns on capital from the lower risk weighted assets they hold relative to banks that do not use CDS.

AB - In a sample of European banks, we find that credit defaults swaps (CDS) are used for regulatory arbitrage to lower capital requirements and facilitate greater risk taking. Moreover, CDS-using banks generate higher returns on capital from the lower risk weighted assets they hold relative to banks that do not use CDS.

U2 - 10.1016/j.frl.2018.02.008

DO - 10.1016/j.frl.2018.02.008

M3 - Article

VL - 26

SP - 255

EP - 260

JO - Finance Research Letters

JF - Finance Research Letters

SN - 1544-6123

IS - 9

ER -