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dc.contributor.authorKlingler, Sven
dc.contributor.authorLando, David
dc.date.accessioned2018-05-09T07:00:23Z
dc.date.available2018-05-09T07:00:23Z
dc.date.created2018-04-17T13:05:33Z
dc.date.issued2018
dc.identifier.citationThe Review of Financial Studies. 2018, 31 (5), 1856-1895.nb_NO
dc.identifier.issn0893-9454
dc.identifier.issn1465-7368
dc.identifier.urihttp://hdl.handle.net/11250/2497676
dc.descriptionThis is an Open Access articlenb_NO
dc.description.abstractCredit default swaps can be used to lower the capital requirements of dealer banks entering into uncollateralized derivatives positions with sovereigns. We show in a model that the regulatory incentive to obtain capital relief makes CDS contracts valuable to dealer banks and empirically that, consistent with the use of CDS for regulatory purposes, there is a disconnect between changes in bond yield spreads and in CDS premiums, especially for safe sovereigns. Additional empirical tests related to the volume of contracts outstanding, effects of regulatory proxies, and the corporate bond and CDS markets support that CDS contracts are used for capital relief.nb_NO
dc.language.isoengnb_NO
dc.publisherOxford University Pressnb_NO
dc.titleSafe Haven CDS Premiumsnb_NO
dc.title.alternativeSafe Haven CDS Premiumsnb_NO
dc.typeJournal articlenb_NO
dc.typePeer reviewednb_NO
dc.description.versionpublishedVersionnb_NO
dc.source.pagenumber1856-1895nb_NO
dc.source.volume31nb_NO
dc.source.journalThe Review of Financial Studiesnb_NO
dc.source.issue5nb_NO
dc.identifier.doihttps://doi.org/10.1093/rfs/hhy021
dc.identifier.cristin1579799
dc.description.localcode2, Forfatterversjonnb_NO
cristin.unitcode158,1,0,0
cristin.unitnameInstitutt for finans
cristin.ispublishedtrue
cristin.fulltextpostprint
cristin.fulltextoriginal
cristin.qualitycode2


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