Hasan, Iftekhar; Liu, Liuling; Zhang, Gaiyan - Suomen Pankki - 2014
fundamentals to price global bank credit risk. First, we find that variables predicted by structural models (leverage, volatility …, and risk-free rate) are significantly associated with bank CDS spreads. Second, some CAMELS indicators, including asset … quality, cost efficiency, and sensitivity to market risk, contain incremental information for bank CDS prices. Moreover …