Using bank CDS spreads, we examine three types of determinants of Euro Area bank
default risk in the period 2008–2019: bank characteristics related to new regulation, the …

Purpose A review of the literature provides a solid reason to believe that an increase in
environmental, social and corporate governance (ESG) activities have a positive impact on …

We empirically analyze the effect of ECB monetary policy on bank default risk, captured by
bank CDS spreads, of Euro Area banks during the period 2008–2018. We disentangle the …

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 …

This paper investigates the return and volatility spillover effects across oil-related credit
default swaps (CDSs), the oil market, and financial market risks for the US during and after …

The banking sector plays an important role in the UK economy as a whole, and investors are
increasingly concerned about the ability of UK-based banks to withstand the consequences …

This paper analyses European banks' probability of default (PD) by estimating a new
measure that is based on the SYstemic Model of Bank Originated Losses (SYMBOL). First …

Kredinin geri ödenmeme riskine karşı alacaklıyı koruma altına alan kredi türev enstrümanı
şeklinde tanımlanan, kredi risk primleri (CDS) özellikle kredi derecelendirme kuruluşları …

This paper investigates the interplay between two types of banking risk: market and credit.
By verifying the volatility feedback loop hypothesis, we employ a multilayer information …

Purpose The purpose of this paper is to study the evolution of financial contagion between
Eurozone banks, observing the credit default swaps (CDSs) market during the period 2009 …