This paper attempts to identify the fundamental variables that drive the credit default swaps during the initial phase of distress in selected European Large Complex Financial Institutions (LCFIs). It uses yearly data over 2004-08 for 29 European LCFIs. The results from a dynamic panel data...

Using a unique data set on companies' defaults provided by a consortium of 31 banks, this paper gives new insights into the determinants of the workout-loss-given-default (W-LGD): losses based on the cash flows observed between the default and the resolution times.As between 1997 and 2010, 18%...

We present an analysis of the sensitivity of household mortgage probabilities of default (PDs) and loss given default (LGDs) on unemployment rates, house price growth, interest rates, and other drivers. A structural micro-macro simulation model is used to that end. It is anchored in the balance...