Banks should not rely on CDS spreads for credit risk
A National Bank of Belgium paper published on Friday looks at the determinants of euro area bank credit default swap (CDS) spreads following the financial crisis.
In recent years market participants and supervisors alike have begun to look to bank CDS spreads as indicators of bank credit risk.
Bank CDS have been incorporated into regulatory initiatives to deal with toxic assets on banks' balance sheets. More recently, they have been proposed as a trigger mechanism in a number of regulatory
Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.
To access these options, along with all other subscription benefits, please contact info@centralbanking.com or view our subscription options here: http://subscriptions.centralbanking.com/subscribe
You are currently unable to print this content. Please contact info@centralbanking.com to find out more.
You are currently unable to copy this content. Please contact info@centralbanking.com to find out more.
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Printing this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email info@centralbanking.com
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Copying this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email info@centralbanking.com
Most read
- BIS’s Zhang Tao on why Asian central banks favour a broader policy mix
- Central bank of the year: Central Bank of Brazil
- Central banks prepare for the rise of AI