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Credit default swap spreads and systemic financial risk

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  • Stefano Giglio

Abstract

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Bibliographic Info

Paper provided by Federal Reserve Bank of Chicago in its series Proceedings with number 1122.

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Length: 104-141
Date of creation: 2011
Date of revision:
Publication status: Published in Conference on Bank Structure and Competition (2011: 47th) ; Implementing Dodd-Frank : Progress and Recommendations for the Future
Handle: RePEc:fip:fedhpr:1122

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Related research

Keywords: Credit ; Financial institutions - Law and legislation ; Financial crises;

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Cited by:
  1. Kelly, Bryan & Lustig, Hanno & van Nieuwerburgh, Stijn, 2012. "Too-Systemic-To-Fail: What Option Markets Imply About Sector-wide Government Guarantees," CEPR Discussion Papers 9023, C.E.P.R. Discussion Papers.
  2. Nicola Gennaioli & Andrei Shleifer & Robert W. Vishny, . "A Model of Shadow Banking," Working Paper 19521, Harvard University OpenScholar.
  3. Tiago Severo, 2012. "Measuring Systemic Liquidity Risk and the Cost of Liquidity Insurance," IMF Working Papers 12/194, International Monetary Fund.
  4. Radev, Deyan, 2013. "Systemic risk and sovereign debt in the Euro area," SAFE Working Paper Series 37, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt.
  5. Greenwood, Robin & Landier, Augustin & Thesmar, David, 2011. "Vulnerable Banks," IDEI Working Papers 700, Institut d'Économie Industrielle (IDEI), Toulouse.
  6. María Rodríguez-Moreno & Sergio Mayordomo & Juan Ignacio Peña, 2012. "Derivatives Holdings and Systemic Risk in the U.S. Banking Sector," Faculty Working Papers 21/12, School of Economics and Business Administration, University of Navarra.
  7. Tobias Adrian & Markus K. Brunnermeier, 2011. "CoVaR," NBER Working Papers 17454, National Bureau of Economic Research, Inc.
    • Tobias Adrian & Markus K. Brunnermeier, 2008. "CoVaR," Staff Reports 348, Federal Reserve Bank of New York.
  8. Sylvain Benoit & Gilbert Colletaz & Christophe Hurlin & Christophe Pérignon, 2013. "A Theoretical and Empirical Comparison of Systemic Risk Measures," Working Papers halshs-00746272, HAL.
  9. Jeong-Bon Kim & Li Li & Mary L. Z. Ma & Frank M. Song, 2013. "CEO Option Compensation, Risk-Taking Incentives, and Systemic Risk in the Banking Industry," Working Papers 182013, Hong Kong Institute for Monetary Research.
  10. Brechmann, Eike C. & Hendrich, Katharina & Czado, Claudia, 2013. "Conditional copula simulation for systemic risk stress testing," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 722-732.
  11. Spiros Bougheas & Alan P. Kirman, 2014. "Complex Financial Networks and Systemic Risk: A Review," CESifo Working Paper Series 4756, CESifo Group Munich.
  12. Nicola Borri & Marianna Caccavaio & Giorgio Di Giorgio & Alberto Maria Sorrentino, 2012. "Systemic Risk and the European Banking Sector," Working Papers CASMEF 1211, Dipartimento di Economia e Finanza, LUISS Guido Carli.
  13. Patrick Augustin, 2012. "Sovereign Credit Default Swap Premia," Working Papers 12-10, New York University, Leonard N. Stern School of Business, Department of Economics.

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