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This paper revisits the credit spread puzzle in bank CDS spreads from the perspective of information contagion. The … structural models to account for information spillovers based on bank business model similarities. To capture this channel, we … the Eurozone. Incorporating the network information into the structural model for bank credit spreads increases …
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This paper revisits the credit spread puzzle in bank CDS spreads from the perspective of information contagion. The … models to account for information spillovers based on bank business model similarities. To capture this channel, we propose … Eurozone. Incorporating the network information into the structural model for bank credit spreads increases explanatory power …
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