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Author
Ortolano Alessandra (G. d'Annunzio University), Angelini Eliana
Title
Do CDS Spread Determinants Affect the Probability of Default? : a Study on the EU Banks
Source
Bank i Kredyt, 2020, nr 1, s. 1-31, aneks, bibliogr. 69 poz.
Bank & Credit
Keyword
Sektor bankowy, Ryzyko kredytowe, Model tobitowy, Modele strukturalne
Banking sector, Credit risk, Tobit model, Structural models
Note
JEL Classification: G10, G21, G33
summ.
Company
Unia Europejska (UE)
European Union (EU)
Abstract
The paper is an investigation of the principal variables that have affected the EU banks' credit risk over the decade 2006-2016. In this context we adopt panel Tobit regressions in order to infer our object of analysis on the most significant CDS spread determinants illustrated by recent literature. In fact, the CDS spread should give a measure of credit risk, expressed by the probability of default. In accordance with the insertion of balance sheet, macroeconomic and market variables, we estimate the probability of default through a two-equation Merton model. Our results are analogous with the main trend of CDS spread determinants over time and contribute to continuing to consider the price of credit default swaps as a good indicator of banks' creditworthiness.(original abstract)
Accessibility
The Main Library of the Cracow University of Economics
The Library of Warsaw School of Economics
The Library of University of Economics in Katowice
The Main Library of Poznań University of Economics and Business
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ISSN
0137-5520
Language
eng
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