Credit Default Swap Spreads and Systemic Financial Risk

By Stefano Giglio. 2012

128 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/5843f52c92d6342e3c8a68d8bcd64c0dbbf64a08

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Citations in the corpus

Too-Systemic-To-Fail: What Option Markets Imply About Sector-Wide Government Guarantees (2016, unknown): “(see Gorton and Metrick, 2009). This leads us to consider banking panics or financial disasters as a source of aggregate risk. To model the asset pricing impact of financial disasters, we use a version of the Barro (2006); Rietz (1988); Longstaff and Piazzesi (2004) asset pricing model with a time-v”
Credit Default Swaps: A Survey (2014, background): “Giglio [2011] estimates bounds on systemic financial risk, i.”
A Theoretical and Empirical Comparison of Systemic Risk Measures (2013, unknown): “A (cid:133)rst approach, called the supervisory approach, relies on (cid:133)rm-speci(cid:133)c information concerning size, leverage, liquidity, interconnectedness, complexity, and substitutability.”
Does the Tail Wag the Dog? The Effect of Credit Default Swaps on Credit Risk (2012, unknown): “Thus, for NR CDS, bankruptcy is preferred when even a relatively small amount of CDS are purchased; hence, bankruptcy is the preferred alternative for a larger range of holdings of CDS by the creditors.”
Where the Risks Lie: A Survey on Systemic Risk (2017, unknown): “Alternatively, Giglio (2014) uses bonds and credit default swap (CDS) spreads to measure the joint default of financial institutions.”
Leverage and asset prices: An experiment (2012, unknown): “For example, the cluster of Executives is characterized by substantially higher earnings in urban areas, where social and complex problem solving skills are particularly valuable, than in rural places.”