Credit and Systemic Risks in the Financial Services Sector: Evidence From the 2008 Global Crisis

We develop a portfolio credit risk model that includes firm-specific Markov-switching regimes as well as individual stochastic and endogenous recovery rates. Using weekly credit default swap premiums for 35 financial firms, we analyze the credit risk of each of these companies and their statistical...

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Bibliographic Details
Published inThe Journal of risk and insurance Vol. 86; no. 2; pp. 263 - 296
Main Authors Bégin, Jean-François, Boudreault, Mathieu, Doljanu, Delia Alexandra, Gauthier, Geneviève
Format Journal Article
LanguageEnglish
Published Malvern Wiley Periodicals, Inc 01.06.2019
American Risk and Insurance Association, Inc
Blackwell Publishing Ltd
Subjects
Banks (Finance)
Collateralized loan obligations
Credit
Credit default swaps
Credit risk
Financial crises
Financial institutions
Insurance industry
International finance
Swaps (Finance)
United States
Quebec
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Summary:We develop a portfolio credit risk model that includes firm-specific Markov-switching regimes as well as individual stochastic and endogenous recovery rates. Using weekly credit default swap premiums for 35 financial firms, we analyze the credit risk of each of these companies and their statistical linkages, putting emphasis on the 2005-2012 period. Moreover, we study the systemic risk affecting both the banking and insurance subsectors.
ISSN:0022-4367
1539-6975
DOI:10.1111/jori.12210