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

In: Bank Strategy, Governance and Ratings

Author

Listed:
  • Laura Chiaramonte
  • Barbara Casu

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

Suggested Citation

  • Laura Chiaramonte & Barbara Casu, 2011. "On the Relationship between Bank CDS Spreads and Balance Sheet Indicators of Bank Risk," Palgrave Macmillan Studies in Banking and Financial Institutions, in: Philip Molyneux (ed.), Bank Strategy, Governance and Ratings, chapter 5, pages 94-108, Palgrave Macmillan.
    • Handle: RePEc:pal:pmschp:978-0-230-31386-6_6
    DOI: 10.1057/9780230313866_6
    as

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