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This paper empirically analyzes the determinants of credit default swap (CDS) spreads from a sample of 45 listed European banks over the 2004-2010 period. We use variables related to accounting- and market-based data, an indicator of liquidity in the CDS market and several variables from the...
Persistent link: https://www.econbiz.de/10013006847
We examine recovery rates of the European banking sector. To this end, we employ information embedded in credit default swaps (CDS) with different levels of seniority. To estimate implied recovery rates, we extend the model of Schlafer and Uhrig-Homburg (2014) and include absolute priority...
Persistent link: https://www.econbiz.de/10012964138
Wealth transfer effects between stockholders and bondholders on the announcement date of changes in a firm's credit rating have primarily been examined a) for one type of security; b) on US capital markets; and c) by applying standard event study methods. In contrast to these investigations, we...
Persistent link: https://www.econbiz.de/10012984791
Bank compensation in distress is often regarded as special due to the prevalence of high bonus payments. I study European banks over the period 2014 to 2018 to determine how banks adjust compensation during distress in the post-crisis era. I use a novel hand-collected database to analyze...
Persistent link: https://www.econbiz.de/10013298468
Persistent link: https://www.econbiz.de/10011903883
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
The run-up to the Greek default featured marked increases in the cost of insuring sovereign debt from almost all European countries. One explanation is that market participants believed a default in one country might increase the risk of a future default in another, and so news about one country...
Persistent link: https://www.econbiz.de/10011730365
We build a non-stationary Hawkes model of sovereign credit risk for seven European countries, and estimate it on CDS data from the run-up to the Greek default. We model a country's credit risk as partly driven by a weighted combination of risks across countries. We find Spain and Portugal are...
Persistent link: https://www.econbiz.de/10012063227
This article presents an analysis of the possible relationship between the spreads of sovereign bonds and the premia of credit default swaps (CDS) to determine whether they are useful tools for the measurement of the sovereign risk either separately or by taking into account the joint evolution...
Persistent link: https://www.econbiz.de/10012436652
Persistent link: https://www.econbiz.de/10012223991