Annaert, Jan; De Ceuster, Marc; Van Roy, Patrick; … - In: Journal of International Money and Finance 32 (2013) C, pp. 444-461
This paper decomposes the explained part of the CDS spread changes of 32 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...