Credit default swaps and regulatory capital relief: Evidence from European banks

被引：8

作者：

Thornton, John ^{[1
,2
]}

di Tommaso, Caterina ^{[3
]}

机构：

[1] US Dept Treasury, Off Tech Assistance, 1750 Penn Ave NW, Washington, DC 20006 USA

[2] Bangor Univ, Sch Business, Coll Rd, Bangor LL57 2DG, Gwynedd, Wales

[3] Univ Calabria, Dept Econ, Commenda Di Rende, Italy

来源：

FINANCE RESEARCH LETTERS | 2018年 / 26卷

关键词：

Credit default swaps; Regulatory arbitrage; European banks;

D O I：

10.1016/j.frl.2018.02.008

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

In a sample of European banks, we find that credit default swaps (CDS) are used for regulatory arbitrage to lower capital requirements and facilitate greater risk taking. Moreover, CDS-using banks generate higher returns on capital from the lower risk weighted assets they hold relative to banks that do not use CDS.

引用

页码：255 / 260

页数：6

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