What determines bank CDS spreads? Evidence from European banks

Drago, Danilo, di Tommaso, Caterina and Thornton, John (2017) What determines bank CDS spreads? Evidence from European banks. Finance Research Letters, 22 (8). pp. 140-145. ISSN 1544-6123

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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.

Item Type: Article
Faculty \ School: Faculty of Social Sciences > Norwich Business School
Depositing User: LivePure Connector
Date Deposited: 25 Sep 2019 14:30
Last Modified: 04 Jul 2020 23:52
URI: https://ueaeprints.uea.ac.uk/id/eprint/72370
DOI: 10.1016/j.frl.2016.12.035

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