Article Dans Une Revue Revue Economique Année : 2021

Do CDS Maturities Matter in the Evaluation of the Information Content of Regulatory Banking Stress Tests? Evidence from European and US Stress Tests

Résumé

This paper questions the relevance of using only the 5-year maturity CDS spreads in the examination of the CDS market response to the disclosure of regulatory stress test results. Do the 5-year CDS contracts reflect all the relevant information on the response of the CDS market? Indeed, since a stress testing exercise measures tested banks’ risk at different horizons, we suspect a difference in the market response depending on the horizons. Our empirical study shows that following the disclosure of stress tests’ results, the information content provided by the different maturities differs. Therefore, simply using 5-year maturity CDS to assess banking risk is not sufficient.

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Dates et versions

hal-04715097 , version 1 (30-09-2024)

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  • HAL Id : hal-04715097 , version 1

Citer

Agbodji Amavi S. S., Emmanuelle Nys, Alain Sauviat. Do CDS Maturities Matter in the Evaluation of the Information Content of Regulatory Banking Stress Tests? Evidence from European and US Stress Tests. Revue Economique, 2021, 72 (65-102). ⟨hal-04715097⟩

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