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
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repository_id_str
spelling Determinants of bank CDS spreads in EuropeSamaniego-Medina, ReyesTrujillo-Ponce, AntonioParrado-Martínez, PurificaciónDi Pietro, FilippoCredit default swapsEuropean banksCredit riskBank riskFinancial crisisC52G21G33M41This 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.Elsevier202520252016info:eu-repo/semantics/articleinfo:eu-repo/semantics/acceptedVersionapplication/pdfhttps://doi.org/10.1016/j.jeconbus.2016.03.001.https://hdl.handle.net/10953/5994reponame:RUJA. Repositorio Institucional de la Producción Científica de la Universidad de Jaéninstname:Universidad de JaénInglésJournal of Economics and Businessinfo:eu-repo/semantics/openAccessoai:ruja.ujaen.es:10953/59942026-06-24T12:41:07Z
dc.title.none.fl_str_mv Determinants of bank CDS spreads in Europe
title Determinants of bank CDS spreads in Europe
spellingShingle Determinants of bank CDS spreads in Europe
Samaniego-Medina, Reyes
Credit default swaps
European banks
Credit risk
Bank risk
Financial crisis
C52
G21
G33
M41
title_short Determinants of bank CDS spreads in Europe
title_full Determinants of bank CDS spreads in Europe
title_fullStr Determinants of bank CDS spreads in Europe
title_full_unstemmed Determinants of bank CDS spreads in Europe
title_sort Determinants of bank CDS spreads in Europe
dc.creator.none.fl_str_mv Samaniego-Medina, Reyes
Trujillo-Ponce, Antonio
Parrado-Martínez, Purificación
Di Pietro, Filippo
author Samaniego-Medina, Reyes
author_facet Samaniego-Medina, Reyes
Trujillo-Ponce, Antonio
Parrado-Martínez, Purificación
Di Pietro, Filippo
author_role author
author2 Trujillo-Ponce, Antonio
Parrado-Martínez, Purificación
Di Pietro, Filippo
author2_role author
author
author
dc.subject.none.fl_str_mv Credit default swaps
European banks
Credit risk
Bank risk
Financial crisis
C52
G21
G33
M41
topic Credit default swaps
European banks
Credit risk
Bank risk
Financial crisis
C52
G21
G33
M41
description 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.
publishDate 2016
dc.date.none.fl_str_mv 2016
2025
2025
dc.type.none.fl_str_mv info:eu-repo/semantics/article
info:eu-repo/semantics/acceptedVersion
format article
status_str acceptedVersion
dc.identifier.none.fl_str_mv https://doi.org/10.1016/j.jeconbus.2016.03.001.
https://hdl.handle.net/10953/5994
url https://doi.org/10.1016/j.jeconbus.2016.03.001.
https://hdl.handle.net/10953/5994
dc.language.none.fl_str_mv Inglés
language_invalid_str_mv Inglés
dc.relation.none.fl_str_mv Journal of Economics and Business
dc.rights.none.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Elsevier
publisher.none.fl_str_mv Elsevier
dc.source.none.fl_str_mv reponame:RUJA. Repositorio Institucional de la Producción Científica de la Universidad de Jaén
instname:Universidad de Jaén
instname_str Universidad de Jaén
reponame_str RUJA. Repositorio Institucional de la Producción Científica de la Universidad de Jaén
collection RUJA. Repositorio Institucional de la Producción Científica de la Universidad de Jaén
repository.name.fl_str_mv
repository.mail.fl_str_mv
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score 15,81155

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