• Medientyp: E-Book; Bericht
  • Titel: The market impact of systemic risk capital surcharges
  • Beteiligte: Gündüz, Yalin [VerfasserIn]
  • Erschienen: Frankfurt a. M.: Deutsche Bundesbank, 2020
  • Sprache: Englisch
  • ISBN: 978-3-95729-677-1
  • Schlagwörter: CDS spreads ; G-SIBs ; systemically important banks ; G-SIB capital surcharges ; G21 ; G28 ; Too-big-to-fail
  • Entstehung:
  • Anmerkungen: Diese Datenquelle enthält auch Bestandsnachweise, die nicht zu einem Volltext führen.
  • Beschreibung: This paper tests whether an increase or decrease of the capital surcharge for being a global systemically important bank (G-SIB) envisaged by regulators has an impact on the CDS prices of these banks. We find evidence that the CDS spreads of a G-SIB bank increase (decrease) after the announcement of a higher (lower) capital surcharge. However, this effect is temporary, as the mean CDS spreads revert to pre-announcement level, dropping sharply after the initial rise. Our analysis contributes to the debate on whether being designated as a G-SIB bank necessarily leads to implicit "too-big-to-fail" subsidies. The findings imply that the investors immediately update their beliefs on the systemic risk of the bank after the bucket reallocation announcement and temporarily demand more hedging against systemic risk.
  • Zugangsstatus: Freier Zugang