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2017 | 10 | nr 3 | 51--63
Tytuł artykułu

Fundamental Determinants of Credit Default Risk for European and American Banks

Treść / Zawartość
Warianty tytułu
Języki publikacji
EN
Abstrakty
EN
The aim of the paper is to identify the fundamental variables driving banks' credit default swaps. Quarterly data from 2004 to 2015 for European and American banks have been used. The analysis has been prepared through static panel data models. The following hypothesis has been put forward: the earnings potential, and economic uncertainty significantly influence credit risk. The independent variables used are CAMELS factors - Capital Adequacy, Asset Quality, Management Quality, Earnings Potential, Liquidity, and Sensitivity to Market Risk. The CDS spreads are most sensitive to the market risk factors whereas capital adequacy, earnings and liquidity indicators have weaker impact. (original abstract)
Rocznik
Tom
10
Numer
Strony
51--63
Opis fizyczny
Twórcy
  • University of Warsaw, Poland
  • University of Warsaw Poland
Bibliografia
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Typ dokumentu
Bibliografia
Identyfikatory
Identyfikator YADDA
bwmeta1.element.ekon-element-000171492760

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