Finding Systemically Important Financial Institutions around the Global Credit Crisis: Evidence from Credit Default Swaps

@inproceedings{Yang2010FindingSI,
  title={Finding Systemically Important Financial Institutions around the Global Credit Crisis: Evidence from Credit Default Swaps},
  author={Jian Yang and Yinggang Zhou},
  year={2010}
}
With an international dataset of credit default spreads as a credit risk measure, we propose a novel empirical framework to identify the structure of credit risk network across major financial institutions around the recent 2007-2008 global credit crisis. The findings directly shed light on credit risk transmission in a financial network and help find systemically important financial institutions from the perspective of interconnectedness. Specifically, Lehman Brothers, Morgan Stanley, Sefeco… Expand
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