The Determinants of Global Bank Credit-Default-Swap Spreads

被引：0
作者：
Iftekhar Hasan
Liuling Liu
Gaiyan Zhang
机构：
[1] Fordham University and Bank of Finland,College of Business
[2] Bowling Green State University,College of Business Administration
[3] University of Missouri-St. Louis,undefined
来源：
Journal of Financial Services Research | 2016年 / 50卷
关键词：
Credit default swaps,; Structural models,; CAMELS,; Global banks,; Bank regulation;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
Using a sample of 161 global banks in 23 countries, we examine the applicability of market-based structural models and accounting-based bank fundamentals to price global bank credit risk. First, we find that variables predicted by structural models are significantly associated with bank CDS spreads. Second, some CAMELS indicators contain incremental information for bank CDS prices. We find no evidence in favor of one model over the other, while the combined structural and CAMELS model performs better than each individual model. Moreover, leverage and asset quality have had a stronger impact on bank CDS since the onset of the recent financial crisis. Banks in countries with lower stock market volatility, fewer entry barriers, and/or more financial conglomerate restrictions tend to have lower credit risk. Deposit insurance appears to have an adverse effect on bank CDS spreads, indicating a moral hazard problem.
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页码：275 / 309
页数：34
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