Recently, global credit derivative markets have expanded very fast. The banking sector is a major user of this type of … likelihood of using credit derivatives is positively related to the bank's size, distress costs and to the use of other … derivatives, and negatively related to the bank's Tier I risk capital and the level of credit risk. In addition, the aggregate …

regression attributes more than 50% of the CDS spread variation to model-based EDF. Among bank-specific CAMELS indicators, a … is an important market-wide indicator of the macroeconomic environment explaining European bank CDS spreads. This … levels. With rising funding and liquidity risks or general risks to financial market stability, bank CDS spreads increase …