Does Credit Default Swap Increase the Systemic Risk in Banking?
碩士 === 元智大學 === 財務金融暨會計碩士班(財務金融學程) === 103 === Credit Default Swap(CDS) provides banks the credit risk mitigation under Basel Ⅲ framework, which means that banks are allowed to hold less capital to against the potential risk. However, if banks become more risky due to CDS trading, how will banks aff...
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| Format: | Others |
| Language: | en_US |
| Online Access: | http://ndltd.ncl.edu.tw/handle/13778291109672862242 |
| Summary: | 碩士 === 元智大學 === 財務金融暨會計碩士班(財務金融學程) === 103 === Credit Default Swap(CDS) provides banks the credit risk mitigation under Basel Ⅲ framework, which means that banks are allowed to hold less capital to against the potential risk. However, if banks become more risky due to CDS trading, how will banks affect the stability of the entire financial system? We utilize △CoVaR (Adrian and Brunnermeier, 2014) as our systemic risk measure to testify weather bank’s CDS trading increase the marginal contribution to overall systemic risk. Results show that banks with active CDS trading contribute more systemic risk than those with CDS inactive trading. We also apply the matching method to control for potential endogenous problem and re-estimate the relationship between the bank’s CDS trading and systemic risk. Our results are consistent.
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