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All Blog Posts Tagged 'OeNB' (1)

Are Banks Different? Evidence from the CDS Market - Oesterreichische Nationalbank (OeNB)

Burkhard Raunig and Martin Scheicher Oesterreichische Nationalbank (OeNB)

February 16, 2009



This paper uses regression analysis to compare the market pricing of the default risk of banks to that of other firms. The authors study how CDS traders discriminate between banks and other type of firms and how their judgement changes over time, in particular, since the start of the recent financial turmoil. The authors use monthly data on the Credit Default Swaps (CDS) of 41 major banks… Continue

Added by John A Morrison on March 6, 2009 at 4:30am — No Comments

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