What Determines Euro Area Bank CDS Spreads

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Subfields: Finance

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The Determinants of CDS Spreads (2014, unknown): “Consistent with Annaert et al. (2010), we find that the Adj R 2 of the models is higher during the GFC (ranging from 18.48% to 43.69”
Credit Default Swaps: A Survey (2014, methodology): “Annaert et al. [2013] explain the CDS spread changes of Euro-zone banks using credit risk, liquidity, and other industry and market variables. Alternatively, Gonzalez and Naranjo [2014] find that equity volatility is a major determinant of CDS spreads for U.S. and European insurance companies. There”
An Analysis of the Determinants of Credit Default Swap Spread Changes Before and During the Subprime Financial Turmoil (2010, background): “Turning to the empirical analysis on CDS spreads, one of the first papers on the topic is that by Aunon-Nerin et al. (2002). As the credit derivatives market was still in its infancy when that paper was written, the sample of CDSs which has been used is rather small and with a predominance of financ”