The effect of credit derivatives usage on the risk of European Banks

It was generally believed by top regulators that credit derivatives make banks sounder. After the international financial crisis, the positive view of the role of credit risk transfer has changed and credit derivatives have been blamed as one of the responsible of the subprime credit crisis. Our pur...

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Detalhes bibliográficos
Autores: Otero González, Luis, Rodríguez Gil, Luis Ignacio, Cantorna Agra, Sara, Durán Santomil, Pablo
Formato: artículo
Fecha de publicación:2015
País:España
Recursos:Universidad de Huelva (UHU)
Repositorio:Arias Montano. Repositorio Institucional de la Universidad de Huelva
Idioma:inglés
OAI Identifier:oai:ariasmontano.uhu.es:10272/11183
Acesso em linha:http://hdl.handle.net/10272/11183
Access Level:acceso abierto
Palavra-chave:Banking Sector
Credit Derivatives
Credit Default Swaps
Bank Risk
Z-Score
Financial Credit Crisis
Sector bancario
Derivados de crédito
Permuta de incumplimiento crediticio (CDS)
Riesgo bancario
Z-score
Crisis de crédito financiera
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spelling The effect of credit derivatives usage on the risk of European BanksEl efecto del uso de derivados de crédito en el riesgo de los bancos europeosOtero González, LuisRodríguez Gil, Luis IgnacioCantorna Agra, SaraDurán Santomil, PabloBanking SectorCredit DerivativesCredit Default SwapsBank RiskZ-ScoreFinancial Credit CrisisSector bancarioDerivados de créditoPermuta de incumplimiento crediticio (CDS)Riesgo bancarioZ-scoreCrisis de crédito financieraIt was generally believed by top regulators that credit derivatives make banks sounder. After the international financial crisis, the positive view of the role of credit risk transfer has changed and credit derivatives have been blamed as one of the responsible of the subprime credit crisis. Our purpose is to analyze whether the risk taken by European banks is affected by the use of credit derivatives. There are very few empirical works regarding this subjec and, in particular, in the European banking sector. We use as measures of risk the Z-score and other proxies of credit risk like the risk-weighted assets and non-performing loans (NPL) ratio. In summary, our results show that European banks that use credit derivatives for hedging experience an improvement in their level of financial stability, while those who opt for a speculative position test negative. Accordingly and based on these data, the cause of the current crisis in Europe could not be directly attributed to the use of credit derivativesUniversidad de Huelva20152015-01-0120152015-01-01journal articlehttp://purl.org/coar/resource_type/c_6501info:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10272/11183reponame:Arias Montano. Repositorio Institucional de la Universidad de Huelvainstname:Universidad de Huelva (UHU)Inglésengopen accesshttp://purl.org/coar/access_right/c_abf2Atribución-NoComercial-SinDerivadas 3.0 Españahttp://creativecommons.org/licenses/by-nc-nd/3.0/es/info:eu-repo/semantics/openAccessoai:ariasmontano.uhu.es:10272/111832026-06-02T14:58:11Z
dc.title.none.fl_str_mv The effect of credit derivatives usage on the risk of European Banks
El efecto del uso de derivados de crédito en el riesgo de los bancos europeos
title The effect of credit derivatives usage on the risk of European Banks
spellingShingle The effect of credit derivatives usage on the risk of European Banks
Otero González, Luis
Banking Sector
Credit Derivatives
Credit Default Swaps
Bank Risk
Z-Score
Financial Credit Crisis
Sector bancario
Derivados de crédito
Permuta de incumplimiento crediticio (CDS)
Riesgo bancario
Z-score
Crisis de crédito financiera
title_short The effect of credit derivatives usage on the risk of European Banks
title_full The effect of credit derivatives usage on the risk of European Banks
title_fullStr The effect of credit derivatives usage on the risk of European Banks
title_full_unstemmed The effect of credit derivatives usage on the risk of European Banks
title_sort The effect of credit derivatives usage on the risk of European Banks
dc.creator.none.fl_str_mv Otero González, Luis
Rodríguez Gil, Luis Ignacio
Cantorna Agra, Sara
Durán Santomil, Pablo
author Otero González, Luis
author_facet Otero González, Luis
Rodríguez Gil, Luis Ignacio
Cantorna Agra, Sara
Durán Santomil, Pablo
author_role author
author2 Rodríguez Gil, Luis Ignacio
Cantorna Agra, Sara
Durán Santomil, Pablo
author2_role author
author
author
dc.contributor.none.fl_str_mv
dc.subject.none.fl_str_mv Banking Sector
Credit Derivatives
Credit Default Swaps
Bank Risk
Z-Score
Financial Credit Crisis
Sector bancario
Derivados de crédito
Permuta de incumplimiento crediticio (CDS)
Riesgo bancario
Z-score
Crisis de crédito financiera
topic Banking Sector
Credit Derivatives
Credit Default Swaps
Bank Risk
Z-Score
Financial Credit Crisis
Sector bancario
Derivados de crédito
Permuta de incumplimiento crediticio (CDS)
Riesgo bancario
Z-score
Crisis de crédito financiera
description It was generally believed by top regulators that credit derivatives make banks sounder. After the international financial crisis, the positive view of the role of credit risk transfer has changed and credit derivatives have been blamed as one of the responsible of the subprime credit crisis. Our purpose is to analyze whether the risk taken by European banks is affected by the use of credit derivatives. There are very few empirical works regarding this subjec and, in particular, in the European banking sector. We use as measures of risk the Z-score and other proxies of credit risk like the risk-weighted assets and non-performing loans (NPL) ratio. In summary, our results show that European banks that use credit derivatives for hedging experience an improvement in their level of financial stability, while those who opt for a speculative position test negative. Accordingly and based on these data, the cause of the current crisis in Europe could not be directly attributed to the use of credit derivatives
publishDate 2015
dc.date.none.fl_str_mv 2015
2015-01-01
2015
2015-01-01
dc.type.none.fl_str_mv journal article
http://purl.org/coar/resource_type/c_6501
dc.type.openaire.fl_str_mv info:eu-repo/semantics/article
format article
dc.identifier.none.fl_str_mv http://hdl.handle.net/10272/11183
url http://hdl.handle.net/10272/11183
dc.language.none.fl_str_mv Inglés
eng
language_invalid_str_mv Inglés
language eng
dc.rights.none.fl_str_mv open access
http://purl.org/coar/access_right/c_abf2
Atribución-NoComercial-SinDerivadas 3.0 España
http://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.rights.openaire.fl_str_mv info:eu-repo/semantics/openAccess
rights_invalid_str_mv open access
http://purl.org/coar/access_right/c_abf2
Atribución-NoComercial-SinDerivadas 3.0 España
http://creativecommons.org/licenses/by-nc-nd/3.0/es/
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Universidad de Huelva
publisher.none.fl_str_mv Universidad de Huelva
dc.source.none.fl_str_mv reponame:Arias Montano. Repositorio Institucional de la Universidad de Huelva
instname:Universidad de Huelva (UHU)
instname_str Universidad de Huelva (UHU)
reponame_str Arias Montano. Repositorio Institucional de la Universidad de Huelva
collection Arias Montano. Repositorio Institucional de la Universidad de Huelva
repository.name.fl_str_mv
repository.mail.fl_str_mv
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score 15,812455

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