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http://ssrn.com/abstract=1691111
 
 

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Credit Risk Spillovers among Financial Institutions around the Global Credit Crisis: Firm-Level Evidence


Jian Yang


University of Colorado at Denver - Business School

Yinggang Zhou


The Chinese University of Hong Kong

July 10, 2012

Management Science, Forthcoming

Abstract:     
Using credit default swap data, we propose a novel empirical framework to identify the structure of credit risk networks across international major financial institutions around the recent global credit crisis. Specifically, we identify three groups of players including prime senders, exchange centers and prime receivers of credit risk information. Leverage ratios and particularly the short-term debt ratio appear to be significant determinants of the roles of financial institutions in credit risk transfer, while corporate governance indexes, size, credit risk and liquidity premiums as well as asset write-downs are not significant. Our findings carry important implications for new regulatory standard on capital sub-charge and liquidity coverage ratio.

Number of Pages in PDF File: 52

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Date posted: October 12, 2010 ; Last revised: December 25, 2012

Suggested Citation

Yang, Jian and Zhou, Yinggang, Credit Risk Spillovers among Financial Institutions around the Global Credit Crisis: Firm-Level Evidence (July 10, 2012). Management Science, Forthcoming. Available at SSRN: http://ssrn.com/abstract=1691111 or http://dx.doi.org/10.2139/ssrn.1691111

Contact Information

Jian Yang (Contact Author)
University of Colorado at Denver - Business School ( email )
1250 14th St.
Denver, CO 80204
United States
Yinggang Zhou
The Chinese University of Hong Kong ( email )
Shatin
Hong Kong
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