Travail de recherche/Working paper
Titre:
  • Unveiling Sovereign Effects in European Banks CDS Spreads Variations
Auteur:Peters, Marc; Pirotte, Hugues
Statut de publication:Publié, 2014-08-18
series:Working Papers CEB, 14-018
Sujet CREF:Economie
Sujet JEL:Asset Pricing; Trading volume; Bond Interest Rates
Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
Bankruptcy; Liquidation
Volumes/pages:43 p.
Mots-clés:Credit default swaps
CDS spreads
structural model
distance to default
banking debt
sovereign debt
Langue:Anglais
Identificateurs:RePEc:sol:wpaper:2013/174728