capture common factors in the residuals. We reproduce the puzzle for European bank credit spreads and hypothesize that the … information contagion through bank business model similarities. To capture this channel, we propose an intuitive measure for …

This paper revisits the credit spread puzzle in bank CDS spreads from the perspective of information contagion. The … models to account for information spillovers based on bank business model similarities. To capture this channel, we propose … Eurozone. Incorporating the network information into the structural model for bank credit spreads increases explanatory power …