The Determinants of Global Bank Credit-Default-Swap Spreads

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• 作者：Iftekhar Hasan ; Liuling Liu ; Gaiyan Zhang
• 关键词：Credit default swaps ; Structural models ; CAMELS ; Global banks ; Bank regulation
• 刊名：Journal of Financial Services Research
• 出版年：2016
• 出版时间：December 2016
• 年：2016
• 卷：50
• 期：3
• 页码：275-309
• 全文大小：704 KB
• 刊物类别：Business and Economics
• 刊物主题：Economics
  Finance and Banking
  Macroeconomics and Monetary Economics
  
• 出版者：Springer Netherlands
• ISSN：1573-0735
• 卷排序：50

文摘

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.