Enterprise risk management and default risk : evidence from the banking industry

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<title>Enterprise risk management and default risk</title>
<subTitle>: evidence from the banking industry</subTitle>
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<name type="personal" xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20180005176">
<namePart>Vilhelmsson, Anders</namePart>
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<abstract displayLabel="Summary">Enterprise risk management (ERM) has emerged as a framework for more holistic and integrated risk management with an emphasis on enhanced governance of the risk management system. ERM should theoretically reduce the volatility of cash flows, agency risk, and information riskultimately reducing a firm's default risk. We empirically investigate the relationship between the degree of ERM implementation and default risk in a panel data set covering 78 of the world's largest banks. We create a novel measure of the degree of ERM implementation. We find that a higher degree of ERM implementation is negatively related to the credit default swap (CDS) spread of a bank. When a rich set of control variables and fixed effects are included, a one-standard-deviation increase in the degree of ERM implementation decreases  CDS  spreads  by  21  bas is  points.  The  degree  of  ERM implementation is, however, not a significant determinant of credit ratings when controls for corporate governance are included</abstract>
<note type="statement of responsibility">Sara A. Lundqvist, Anders Vilhelmsson</note>
<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20100002285">
<topic>Enterprise Risk Management</topic>
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<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080591182">
<topic>Gerencia de riesgos</topic>
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<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080588083">
<topic>Sistemas bancarios</topic>
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<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080619008">
<topic>Calificaciones crediticias</topic>
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<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080603038">
<topic>Prevención de riesgos</topic>
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<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080536534">
<topic>ERM</topic>
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<title>The Journal of risk and insurance</title>
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<publisher>Nueva York : The American Risk and Insurance Association, 1964-</publisher>
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<identifier type="issn">0022-4367</identifier>
<identifier type="local">MAP20077000727</identifier>
<part>
<text>01/03/2018 Volumen 85 Número 1 - marzo 2018 , p. 127-157</text>
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