We study market liquidity via daily close relative spreads and daily traded volumes in a sample of 426 Samp;P500 constituents recorded over the years 2004-2006, a period of quot;normalquot; liquidity conditions. We use recent results on the Generalized Dynamic Factor Model (GDFM) with block...

Starting from the structural model developed by Merton (1974) and the derived notion of distance-to-default, we study the determinants of credit default swap (CDS) spreads for a sample of European banks over a period from January 2006 to December 2011. In particular, we test variables that are...