Skip to Main content Skip to Navigation
Theses

CDS and the forecasting of bank default

Abstract : Based on an analysis of the default of the banks and regulation through credit ratings (and rating agencies), CDS models, Basel III, bail-In and capital insurance, we find that the characteristics of CDS make them a good candidate to forecast (and ideally prevent) the potential defaults of the banks. Indeed, thanks to the economics of CDS and results of empirical studies, we show that they are a good proxy of bank risks and that they did capture information changes more quickly than the credit ratings which remained relatively constant during 2007 and 2008.So, using a specific trigger based on CDS and the appropriate action, should the trigger be activated, we could prevent the default of a bank. And the understanding of contingent capital mechanism is of great interest to reach this objective which optimizes the monitoring implemented by banks as well as regulators.
Document type :
Theses
Complete list of metadatas

Cited literature [95 references]  Display  Hide  Download

https://tel.archives-ouvertes.fr/tel-01902420
Contributor : Abes Star :  Contact
Submitted on : Tuesday, October 23, 2018 - 3:21:17 PM
Last modification on : Friday, October 23, 2020 - 4:56:25 PM
Long-term archiving on: : Thursday, January 24, 2019 - 3:42:30 PM

File

These-Finale-THOREZ.pdf
Version validated by the jury (STAR)

Identifiers

  • HAL Id : tel-01902420, version 1

Collections

Citation

Eric Thorez. CDS and the forecasting of bank default. Business administration. Université Paris sciences et lettres, 2017. English. ⟨NNT : 2017PSLED073⟩. ⟨tel-01902420⟩

Share

Metrics

Record views

152

Files downloads

434