In order to address the risk of systemic crises it is of paramount importance to have advance information about banks' exposures to large (negative) shocks. In this paper we develop a simple method for quantifying such exposures in a forward-looking manner. The method is based on estimating...

We apply Bayesian Model Averaging and a frequentistic model space analysis to assess the pricing-determinants of credit default swaps (CDS). Our study focuses on the complete model space of plausible models covering most of the variables and specifications used elsewhere in the literature,...