L'impact de la faillite de Lehman Brothers sur les credit default swaps des banques teneurs de marché

This paper investigates the dynamics of conditional correlations among the G14 dealer banks for the credit default swap (CDS) market. The purpose of the paper is to distinguish between ?contagion? and ?interdependence? during the global financial crisis, following the definition of Forbes and Rigobon [2002]. We identify the banks which were the most or the least affected by losses induced by the crisis and we draw some conclusions in terms of their vulnerability to financial shocks. We use an asymmetric dynamic conditional correlations model which takes into account the asymmetries in the transmission of shocks on the correlations (ADCC model) by Cappiello, Engle and Sheppard [2006]. Our results show firstly, that there was a dynamic correlation structure among the conditional pair correlations of the G14 dealer banks. Secondly, we find that all banks in our sample became highly contaminated due to Lehman Brothers? bankruptcy, denoted by a significant increase of their conditional correlations that lasted temporary. The results are in favor of ?contagion? rather than ?interdependence? hypothesis. On the whole, the banks which announced massively subprime writedowns and losses between 2007 and 2008 were more affected than the others. These results question about the Too-Interconnected-To-Fail, but also about interlocked positions as a factor of systemic risk.