Abstract
This paper was a study of US bank participation in credit derivatives around the financial crisis of 2008 by using data between 1997 and 2017. The results from a more detailed analysis showed that the financial crisis represented a transitional period for US banks’ holdings of credit derivatives. The results indicate that US banks increased their hedging and their appetite for risk. The financial crisis also represented a structural change in type of loans held by participating US banks. The results show that US banks converged towards hedging around the financial crisis in credit derivatives.
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