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....

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...

The pandemic crisis, which broke out in early 2020, is still affecting human lives and economic activity around the globe, causing unprecedented transformations which were not foreseen just before its onset. The European Union, its citizens and the financial and non-financial firms active...