Credit default swaps and regulatory capital relief

John Thornton, Caterina di Tommaso

Research output: Contribution to journalArticlepeer-review

5 Citations (Scopus)
124 Downloads (Pure)

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.
Original languageEnglish
Pages (from-to)255-260
Number of pages6
JournalFinance Research Letters
Volume26
Issue number9
Early online date23 Feb 2018
DOIs
Publication statusPublished - Sep 2018

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