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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
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What determines Euro area bank CDS spreads?
Annaert, Jan; De Ceuster, Marc; Van Roy, Patrick; … - In: Journal of international money and finance 32 (2013), pp. 444-461
Persistent link: https://www.econbiz.de/10010054433
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What determines Euro area bank CDS spreads?
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...
Persistent link: https://www.econbiz.de/10010594699
Cover Image
What determines euro area bank CDS spreads?
Annaert, Jan; De Ceuster, Marc J.; Van Roy, Patrick; … - 2010
Persistent link: https://www.econbiz.de/10003964386
Cover Image
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
Cover Image
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
Cover Image
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