Determinants of bank CDS spreads in Europe

This paper empirically analyzes the determinants of credit default swap (CDS) spreads from a sample of 45 listed European banks over the 2004-2010 period. We use variables related to accounting- and market-based data, an indicator of liquidity in the CDS market and several variables from the macroec...

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Detalles Bibliográficos
Autores: Samaniego-Medina, Reyes, Trujillo-Ponce, Antonio, Parrado-Martínez, Purificación, Di Pietro, Filippo
Tipo de recurso: artículo
Estado:Versión aceptada para publicación
Fecha de publicación:2016
País:España
Institución:Universidad de Jaén
Repositorio:RUJA. Repositorio Institucional de la Producción Científica de la Universidad de Jaén
OAI Identifier:oai:ruja.ujaen.es:10953/5994
Acceso en línea:https://doi.org/10.1016/j.jeconbus.2016.03.001.
https://hdl.handle.net/10953/5994
Access Level:acceso abierto
Palabra clave:Credit default swaps
European banks
Credit risk
Bank risk
Financial crisis
C52
G21
G33
M41
Descripción
Sumario:This paper empirically analyzes the determinants of credit default swap (CDS) spreads from a sample of 45 listed European banks over the 2004-2010 period. We use variables related to accounting- and market-based data, an indicator of liquidity in the CDS market and several variables from the macroeconomic environment in which these financial institutions operate. These variables are analyzed during both the pre-crisis period (2004-2007) and the crisis period (2008-2010). The primary conclusion is that the market variables have the greatest explanatory power. Additionally, we find that the explanatory power of the model is considerably higher during the crisis period than it is during the pre-crisis period.