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What determines bank CDS spreads? Evidence from European banks

Allbwn ymchwil: Cyfraniad at gyfnodolyn › Erthygl › adolygiad gan gymheiriaid

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What determines bank CDS spreads? Evidence from European banks. / Drago, Danilo; Thornton, John; Di Tommaso, Caterina.
Yn: Finance Research Letters, Cyfrol 22, Rhif 8, 08.2017, t. 140-145.

Allbwn ymchwil: Cyfraniad at gyfnodolyn › Erthygl › adolygiad gan gymheiriaid

HarvardHarvard

Drago, D, Thornton, J & Di Tommaso, C 2017, 'What determines bank CDS spreads? Evidence from European banks', Finance Research Letters, cyfrol. 22, rhif 8, tt. 140-145. https://doi.org/10.1016/j.frl.2016.12.035

APA

Drago, D., Thornton, J., & Di Tommaso, C. (2017). What determines bank CDS spreads? Evidence from European banks. Finance Research Letters, 22(8), 140-145. https://doi.org/10.1016/j.frl.2016.12.035

CBE

Drago D, Thornton J, Di Tommaso C. 2017. What determines bank CDS spreads? Evidence from European banks. Finance Research Letters. 22(8):140-145. https://doi.org/10.1016/j.frl.2016.12.035

MLA

Drago, Danilo, John Thornton a Caterina Di Tommaso. "What determines bank CDS spreads? Evidence from European banks". Finance Research Letters. 2017, 22(8). 140-145. https://doi.org/10.1016/j.frl.2016.12.035

VancouverVancouver

Drago D, Thornton J, Di Tommaso C. What determines bank CDS spreads? Evidence from European banks. Finance Research Letters. 2017 Awst;22(8):140-145. Epub 2017 Ion 3. doi: 10.1016/j.frl.2016.12.035

Author

Drago, Danilo ; Thornton, John ; Di Tommaso, Caterina. / What determines bank CDS spreads? Evidence from European banks. Yn: Finance Research Letters. 2017 ; Cyfrol 22, Rhif 8. tt. 140-145.

RIS

TY - JOUR

T1 - What determines bank CDS spreads? Evidence from European banks

AU - Drago, Danilo

AU - Thornton, John

AU - Di Tommaso, Caterina

PY - 2017/8

Y1 - 2017/8

N2 - We examine the determinants of CDS spreads for a sample of European and US banks. The key balance sheet determinants are leverage, asset quality, funding stability, and bank size, and the key market determinants are equity returns, the term structure of interest rates and bank-specific and host country sovereign credit risk. Our results would appear to con- firm the applicability of Merton (1974)-type models extended to include market variables to the understanding of bank credit risk.

AB - We examine the determinants of CDS spreads for a sample of European and US banks. The key balance sheet determinants are leverage, asset quality, funding stability, and bank size, and the key market determinants are equity returns, the term structure of interest rates and bank-specific and host country sovereign credit risk. Our results would appear to con- firm the applicability of Merton (1974)-type models extended to include market variables to the understanding of bank credit risk.

U2 - 10.1016/j.frl.2016.12.035

DO - 10.1016/j.frl.2016.12.035

M3 - Article

VL - 22

SP - 140

EP - 145

JO - Finance Research Letters

JF - Finance Research Letters

SN - 1544-6123

IS - 8

ER -