NBER WORKING PAPER SERIES HOW MUCH DO BANKS USE CREDIT.pdf

NBER WORKING PAPER SERIES HOW MUCH DO BANKS USE CREDIT DERIVATIVES TO REDUCE RISK? Bernadette A. Minton René Stulz Rohan Williamson Working Paper 11579 /papers/w 11579 NATIONAL BUREAU OF ECONOMIC RESEARCH 1050 Massachusetts Avenue Cambridge, MA 02138 August 2005 Respectively, Associate Professor, The Ohio State University; Everett D. Reese Chair of Banking and Monetary Economics, The Ohio State University and NBER; and Associate Professor, Georgetown University. We are grateful to Jim O’Brien and Mark Carey for discussions. Minton acknowledges the Dice Center of Financial Research and Fisher College of Business for financial support. The views expressed herein are those of the author(s) and do not necessarily reflect the views of the National Bureau of Economic Research. ©2005 by Bernadette A. Minton, René Stulz and Rohan Williamson. All rights reserved. Short sections of text, not to exceed two paragraphs, may be quoted without explicit permission provided that full credit, including © notice, is given to the source. How Much Do Banks Use Credit Derivatives to Reduce Risk? Bernadette A. Minton, René Stulz and Rohan Williamson NBER Working Paper No. 11579 August 2005 JEL No. G10, G20, G21, D82 ABSTRACT This paper examines the use of credit derivatives by US bank holding companies from 1999 to 2003 with assets in excess of one billion dollars. Using the Federal Reserve Bank of Chicago Bank Holding Company Database, we