Abstract

http://ssrn.com/abstract=2145986
 
 

Citations



 


 



Credit Default Swap Spreads and Systemic Financial Risk


Stefano Giglio


University of Chicago - Booth School of Business; National Bureau of Economic Research (NBER)

January 1, 2012

Chicago Booth Research Paper No. 12-45
Fama-Miller Working Paper

Abstract:     
This paper measures the joint default risk of financial institutions by exploiting information about counterparty risk in credit default swaps (CDS). A CDS contract written by a bank to insure against the default of another bank is exposed to the risk that both default together. From CDS spreads we can then learn about the joint default risk of pairs of banks. From bond prices, instead, we can learn the individual default probabilities. Since knowing individual and pairwise probabilities is not sufficient to fully characterize multiple default risk, I derive the tightest bounds on the probability that many banks fail simultaneously.

working papers series


Not Available For Download

Date posted: September 13, 2012  

Suggested Citation

Giglio, Stefano, Credit Default Swap Spreads and Systemic Financial Risk (January 1, 2012). Chicago Booth Research Paper No. 12-45; Fama-Miller Working Paper. Available at SSRN: http://ssrn.com/abstract=2145986

Contact Information

Stefano Giglio (Contact Author)
University of Chicago - Booth School of Business ( email )
5807 S. Woodlawn Avenue
Chicago, IL 60637
United States
National Bureau of Economic Research (NBER) ( email )
1050 Massachusetts Avenue
Cambridge, MA 02138
United States
Feedback to SSRN


Paper statistics
Abstract Views: 763

© 2014 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright   Contact Us
This page was processed by apollo7 in 0.250 seconds