Safe Haven CDS Premiums

• 成果类型: Article
• 署名作者: Klingler, Sven; Lando, David
• 署名单位: BI Norwegian Business School; Copenhagen Business School
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhy021
• 发表日期: 2018
• 页码: 1855
• 关键词: term structure; SOVEREIGN CDS; default; LIMITS; BANK; RISK; DYNAMICS

摘要

Credit default swaps can be used to lower the capital requirements of dealer banks entering into uncollateralized derivatives positions with sovereigns. We show in a model that the regulatory incentive to obtain capital relief makes CDS contracts valuable to dealer banks and empirically that, consistent with the use of CDS for regulatory purposes, there is a disconnect between changes in bond yield spreads and in CDS premiums, especially for safe sovereigns. Additional empirical tests related to the volume of contracts outstanding, effects of regulatory proxies, and the corporate bond and CDS markets support that CDS contracts are used for capital relief.