@techreport{Volz2009Does,
abstract = {This paper examines the potential distortion of prices in the CDS market caused by too-big-to-fail. Overall, we find evidence for market discipline in the CDS market. However, CDS prices are distorted due to a size effect which arises when investors expect a public bail-out as a result of too-big-to-fail. A one percentage point increase in size reduces the CDS spread of a bank by about two basis points. We further find that some banks have already reached a size that makes them too-big-to-be-rescued. While the price distortion for these banks decreases the existence of banks that are considered to be toobig-to-rescue raises important new issues for banking supervisors.},
address = {Frankfurt am Main},
author = {Manja V\"{o}lz and Michael Wedow},
copyright = {http://www.econstor.eu/dspace/Nutzungsbedingungen},
isbn = {978-3-86558-505-9},
keywords = {G14; G21; G28; 330; Market Discipline; Too Big To Fail; Too Big to Rescue CDS Spreads; Bank; Betriebsgr\"{o}\ss{}e; Credit Default Swap; Kreditversicherung; B\"{o}rsenkurs; Risikopr\"{a}mie; Bankinsolvenz; Bankgarantie; Staatliche Einflussnahme; Welt},
language = {eng},
number = {2009,06},
publisher = {Deutsche Bundesbank},
title = {Does banks size distort market prices? Evidence for too-big-to-fail in the CDS market},
type = {Discussion Paper Series 2: Banking and financial studies},
url = {http://hdl.handle.net/10419/27689},
year = {2009}
}

