The effect of credit derivatives usage on the risk of European Banks

  1. Luís Ignacio Rodríguez Gil
  2. Luís Otero González
  3. Sara Cantorna Agra
  4. Pablo Durán Santomil
Revista:
Revista de economía mundial

ISSN: 1576-0162

Ano de publicación: 2015

Número: 40

Páxinas: 197-220

Tipo: Artigo

Outras publicacións en: Revista de economía mundial

Indicadores

JCR (Journal Impact Factor)

  • Ano 2015
  • Factor de impacto da revista: 0.161
  • Factor de impacto sen autocitas: 0.081
  • Article influence score: 0.032
  • Cuartil maior: Q4
  • Área: ECONOMICS Cuartil: Q4 Posición na área: 328/345 (Edición: SSCI)

SCImago Journal Rank

  • Ano 2015
  • Impacto SJR da revista: 0.191
  • Cuartil maior: Q2
  • Área: History Cuartil: Q2 Posición na área: 291/1248
  • Área: Social Sciences (miscellaneous) Cuartil: Q3 Posición na área: 289/562
  • Área: Geography, Planning and Development Cuartil: Q3 Posición na área: 430/736
  • Área: Political Science and International Relations Cuartil: Q3 Posición na área: 285/526
  • Área: Economics and Econometrics Cuartil: Q4 Posición na área: 471/670
  • Área: Transportation Cuartil: Q4 Posición na área: 89/177

Índice Dialnet de Revistas

  • Ano 2015
  • Factor de impacto da revista: 0,230
  • Ámbito: ECONOMÍA Cuartil: C2 Posición no ámbito: 35/166

CIRC

  • Ciencias Sociais: B
  • Ciencias Humanas: A

Scopus CiteScore

  • Ano 2015
  • CiteScore da revista: 0.5
  • Área: Political Science and International Relations Percentil: 39
  • Área: Economics and Econometrics Percentil: 20

Resumo

It was generally believed by top regulators that credit derivatives make banks sounder. After the international financial crisis, the positive view of the role of credit risk transfer has changed and credit derivatives have been blamed as one of the responsible of the subprime credit crisis. Our purpose is to analyze whether the risk taken by European banks is affected by the use of credit derivatives. There are very few empirical works regarding this subjec and, in particular, in the European banking sector. We use as measures of risk the Z-score and other proxies of credit risk like the risk-weighted assets and non-performing loans (NPL) ratio. In summary, our results show that European banks that use credit derivatives for hedging experience an improvement in their level of financial stability, while those who opt for a speculative position test negative. Accordingly and based on these data, the cause of the current crisis in Europe could not be directly attributed to the use of credit derivatives

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