| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP12694 |
| DP12694 Safe Haven CDS Premiums | |
| David Lando; Sven Klinger | |
| 发表日期 | 2018-02-07 |
| 出版年 | 2018 |
| 语种 | 英语 |
| 摘要 | Credit Default Swaps can be used to lower capital requirements of dealer banks who enter into uncollateralized derivatives positions with sovereigns. We show in a model that the regulatory incentive to obtain capital relief makes CDS contracts valuable to dealer banks and empirically that, consistent with the use of CDS for regulatory purposes, there is a disconnect between changes in bond yield spreads and in CDS premiums especially for safe sovereigns. Additional empirical tests related to volumes of contracts outstanding, effects of regulatory proxies, and the corporate bond and CDS markets support that CDS contracts are used for capital relief. |
| 主题 | Financial Economics |
| 关键词 | Cds premiums Capital charges Cva Cds-bond basis |
| URL | https://cepr.org/publications/dp12694 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/541506 |
| 推荐引用方式 GB/T 7714 | David Lando,Sven Klinger. DP12694 Safe Haven CDS Premiums. 2018. |
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