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We examine the determinants of CDS spreads for a sample of European and US banks. The key balance sheet determinants are leverage, asset quality, funding stability, and bank size, and… Click to show full abstract
We examine the determinants of CDS spreads for a sample of European and US banks. The key balance sheet determinants are leverage, asset quality, funding stability, and bank size, and the key market determinants are equity returns, the term structure of interest rates and bank-specific and host country sovereign credit risk. Our results would appear to confirm the applicability of Merton (1974)-type models extended to include market variables to the understanding of bank credit risk.
Keywords:
cds spreads;
determines bank;
spreads evidence;
bank cds;
european banks;
bank
Journal Title: Finance Research Letters
Year Published: 2017
Link to full text (if available)
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Journal Title: Finance Research Letters
Year Published: 2017
Link to full text (if available)
Share on Social Media: Sign Up to like & get
recommendations!