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What Determines Euro Area Bank CDS Spreads?
Annaert, Jan - 2010
This paper decomposes the explained part of the CDS spread changes of 31 listed euro area banks according to various risk drivers. The choice of the credit risk drivers is inspired by the Merton (1974) model. Individual CDS liquidity and other market and business variables are identified to...
Persistent link: https://www.econbiz.de/10013137926
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What determines euro area bank CDS spreads?
Annaert, Jan; De Ceuster, Marc J.; Van Roy, Patrick; … - 2010
Persistent link: https://www.econbiz.de/10003964386
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What determines Euro area bank CDS spreads?
Annaert, Jan; De Ceuster, Marc J.; Van Roy, Patrick; … - In: Journal of international money and finance 32 (2013), pp. 444-461
Persistent link: https://www.econbiz.de/10009732854
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Don't fall from the Saddle : the importance of higher moments of credit loss distributions
Annaert, Jan; Batista, Crispiniano Garcia Joao; Lamoot, … - 2006
Persistent link: https://www.econbiz.de/10003331649
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What determines euro area bank CDS spreads?
Annaert, Jan; De Ceuster, Marc J.; Van Roy, Patrick; … - 2010
This paper decomposes the explained part of the CDS spread changes of 31 listed euro area banks according to various risk drivers. The choice of the credit risk drivers is inspired by the Merton (1974) model. Individual CDS liquidity and other market and business variables are identified to...
Persistent link: https://www.econbiz.de/10011596544
Cover Image
Don't fall from the Saddle : the importance of higher moments of credit loss distributions
Annaert, Jan; Batista, Crispiniano Garcia Joao; Lamoot, … - 2007
Persistent link: https://www.econbiz.de/10003481913