Credit Risk Spillovers among Financial Institutions around the Global Credit Crisis: Firm-Level Evidence

Using credit default swap data, we propose a novel empirical framework to identify the structure of credit risk networks across international major financial institutions around the recent global credit crisis. The findings shed light on the credit risk transmission process and helps identify key financial institutions. Specifically, we identify three groups of players including prime senders, exchange centers and prime receivers of credit risk information. Leverage ratios and particularly the short-term debt ratio appear to be significant determinants of the roles of financial institutions in credit risk transfer, while corporate governance indexes, size, liquidity and asset write-downs are not significant.