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Are Banks Too Big to Fail or Too Big to Save? International Evidence from Equity Prices and CDS Spreads
Demirgüc-Kunt, A. / Huizinga, H.P.
banking / credit derivativesResource overview

Are Banks Too Big to Fail or Too Big to Save? International Evidence from Equity Prices and CDS Spreads

Paper2010

by Demirgüc-Kunt, A., Huizinga, H.P.

Tags
bankingcredit derivativescredit riskequity markets

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Suggested foundations for credit and counterparty risk and asset pricing and factor research. Specialist prerequisites vary by paper.

Before you read

  1. Credit Instruments, PD/LGD/EAD, and Rating Migration

    Separate default probability, loss severity and exposure.

  2. Conditional Expectation

    Read conditional default and exposure quantities.

  3. Linear Regression

    Interpret exposures, residuals and uncertainty in fitted coefficients.

  4. Financial Return Characteristics

    Work with returns and recognise their empirical limitations.

Go further

  1. Threshold Models and the Gaussian Copula for Portfolio Default

    Study dependence between defaults.

  2. CVA and DVA

    Connect exposure and counterparty losses to valuation adjustments.

  3. Factor construction

    Connect factor definitions to portfolio construction.

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Explore Counterparty Credit Risk and CVA Explore Empirical Asset Pricing and Factor Investing

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