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

[thumbnail of Accepted_Manuscript]
PDF (Accepted_Manuscript) - Accepted Version
Available under License Creative Commons Attribution Non-commercial No Derivatives.

Download (699kB) | Preview


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 Jan 2024 02:37
DOI: 10.1016/


Downloads per month over past year

Actions (login required)

View Item View Item