Credit default swaps and regulatory capital relief

Thornton, John and di Tommaso, Caterina (2018) Credit default swaps and regulatory capital relief. Finance Research Letters, 26 (9). pp. 255-260. ISSN 1544-6123

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Abstract

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.

Item Type: Article
Faculty \ School: Faculty of Social Sciences > Norwich Business School
Depositing User: LivePure Connector
Date Deposited: 09 Sep 2019 09:30
Last Modified: 30 Jun 2020 23:53
URI: https://ueaeprints.uea.ac.uk/id/eprint/72112
DOI: 10.1016/j.frl.2018.02.008

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