This study investigates the association between two measures of bank insolvency risk, the accounting-based z-score and the market-based Merton's distance to default, and asset securitization as the financial crisis approached, unfolded, and in its aftermath. We consider both the risks arising...

Despite the exorbitant cost of financial crises had highlighted the importance of early warning systems for financial fragility, existing models failed to signal warnings for the 2007-2010 crisis. Using a signal extraction framework and looking at OECD countries over a 27 year period, this paper...

Based on a sample of mid-tier and top-tier internationally active banks with five-year senior CDS spreads, this paper investigates the determinants of CDS spreads and whether CDS spreads can be considered a good proxy of bank risk. The analysis encompasses three time periods: a pre-crisis period...

The bankruptcy of Lehman Brothers in September 2008 and, shortly afterwards, the near downfall of the insurance conglomerate American International Group (AIG), both of which were heavily involved in the CDS sector, polarised attention towards the CDS activities of the major international banks....