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On the Relationship between Bank CDS Spreads and Balance Sheet Indicators of Bank Risk

  • Laura Chiaramonte
  • Barbara Casu
Part of the Palgrave Macmillan Studies in Banking and Financial Institutions book series (SBFI)

Abstract

Banks have played a crucial role in the making and spread of the recent financial crisis. Indeed, the default of the investment bank Lehman Brothers in September 2008 sparked the most acute phase of the crisis and had a number of repercussions for the whole system.1 The demise of the American investment bank, and, shortly afterwards, the near downfall of the insurance conglomerate American International Group (AIG), polarized attention towards the CDS activities of the major international banks. CDSs, the most widespread form of credit derivative, have been, according to some, responsible for exacerbating the effects of the recent financial crisis.2

Keywords

Balance Sheet Credit Risk Credit Default Swap Crisis Period Credit Spread 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Laura Chiaramonte and Barbara Casu 2011

Authors and Affiliations

  • Laura Chiaramonte
  • Barbara Casu

There are no affiliations available

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