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Are CDS Spreads a Good Proxy of Bank Risk? Evidence from the Recent Financial Crisis

Barbara Casu

出版	SSRN, 2013
URL	http://books.google.com.hk/books?id=SWAqzwEACAAJ&hl=&source=gbs_api

註釋

The bankruptcy of Lehman Brothers in September 2008 and, shortly afterwards, the near downfall of the insurance conglomerate American International Group (AIG), both of which were heavily involved in the CDS sector, polarised attention towards the CDS activities of the major international banks. Based on a sample of internationally active banks over the period 2005 - March 2010, this paper investigates the relationship between CDS spreads and bank balance sheet ratios.The results of the empirical analysis indicate that bank CDS spreads reflect the risk captured by bank balance sheet ratios.