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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

What determines euro area bank CDS spreads?

Annaert, Jan; De Ceuster, Marc; 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/10011506710

The information contained in money market interactions : unsecured vs. collateralized lending

Bernales, Alejandro; Di Filippo, Mario - 2016

Persistent link: https://www.econbiz.de/10011578382

Systemic risk in a structural model of bank default linkages

Kreis, Yvonne; Leisen, Dietmar - In: Journal of financial stability 39 (2018), pp. 221-236

Persistent link: https://www.econbiz.de/10012159770

The effect of credit shocks in the context of labor market frictions

Liao, Shushu - In: Journal of banking & finance 125 (2021), pp. 1-16

Persistent link: https://www.econbiz.de/10012819695

A structural model to assess the impact of bank capitalization changes conditional on a bail-in versus bail-out regime

Dubiel-Teleszynski, Tomasz; Groß, Marco; Población … - In: International review of economics & finance : IREF 59 (2019), pp. 1-13

Persistent link: https://www.econbiz.de/10012202474

Intermediary-based loan pricing : price and non-price terms across markets

Mabille, Pierre; Wang, Olivier - 2023 - Revised version of 2022/57/FIN

Persistent link: https://www.econbiz.de/10014362791

Risk contagion and bank stability : the role of credit risk and liquidity risk

Ding, Lei; Zhuang, Yaming; Wang, Hu - In: The journal of risk model validation 16 (2022) 4, pp. 113-130

Persistent link: https://www.econbiz.de/10014239855

Russia's banking sector and its EU-owned significant banks, against the backdrop of war and sanctions

Barisitz, Stephan; Deswel, Philippe - In: Focus on European economic integration (2023) 1, pp. 23-41

Persistent link: https://www.econbiz.de/10014382939

What firm risk factors drive bank loan pricing and other terms? : evidence from China

Jin, Hongmin; Wang, Lu; Zuoping, Xiao; Fung, Hung-gay - In: Accounting and finance 63 (2023) 3, pp. 2985-3010

Persistent link: https://www.econbiz.de/10014375215

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