Rene Kallestrup | Xxx - Academia.edu (original) (raw)
Uploads
Papers by Rene Kallestrup
Page 106. The Collapse of the Icelandic Banking System René Kallestrup David Lando∗ Published in ... more Page 106. The Collapse of the Icelandic Banking System René Kallestrup David Lando∗ Published in Lessons from the Financial Crisis: Insights from the Defining Economic Event of our Lifetime (2010). Editor: Arthur M. Berd. Risk Books, pp. 65-120. ...
SSRN Electronic Journal, 2000
We show that CDS premiums of sovereigns are significantly affected by the foreign exposures of th... more We show that CDS premiums of sovereigns are significantly affected by the foreign exposures of their domestic banks. Our analysis uses a simple risk-weighted exposure measure which aggregates detailed data on the composition and risk of banks' foreign exposures. A 1 basis point change in our risk weighted exposure measure corresponds to an average change of approximately 0.4 bp in sovereign CDS spreads. Extensive robustness checks confirm that the explanatory power of our measure is not due to common factors in CDS premiums. We also measure the size and riskiness of the sovereign's implicit and explicit guarantees extended to its domestic banking system.
Page 106. The Collapse of the Icelandic Banking System René Kallestrup David Lando∗ Published in ... more Page 106. The Collapse of the Icelandic Banking System René Kallestrup David Lando∗ Published in Lessons from the Financial Crisis: Insights from the Defining Economic Event of our Lifetime (2010). Editor: Arthur M. Berd. Risk Books, pp. 65-120. ...
SSRN Electronic Journal, 2000
We show that CDS premiums of sovereigns are significantly affected by the foreign exposures of th... more We show that CDS premiums of sovereigns are significantly affected by the foreign exposures of their domestic banks. Our analysis uses a simple risk-weighted exposure measure which aggregates detailed data on the composition and risk of banks' foreign exposures. A 1 basis point change in our risk weighted exposure measure corresponds to an average change of approximately 0.4 bp in sovereign CDS spreads. Extensive robustness checks confirm that the explanatory power of our measure is not due to common factors in CDS premiums. We also measure the size and riskiness of the sovereign's implicit and explicit guarantees extended to its domestic banking system.