IDEAS home Printed from https://ideas.repec.org/a/taf/eurjfi/v19y2013i9p861-887.html
   My bibliography  Save this article

The determinants of bank CDS spreads: evidence from the financial crisis

Author

Listed:
  • Laura Chiaramonte
  • Barbara Casu

Abstract

Based on a sample of mid-tier and top-tier internationally active banks with 5-year senior CDS, this paper investigates the determinants of credit default swaps (CDS) spreads and whether CDS spreads can be considered a good proxy of bank performance. The analysis encompasses three time periods: a pre-crisis period (1 January 2005-30 June 2007), a crisis period (1 July 2007-31 March 2009) and a post-crisis period (1 April 2009-30 June 2011) and focuses exclusively on bank-specific balance sheet ratios. The results of the empirical analysis indicate that bank CDS spreads, both in the pre-crisis period, but especially in the crisis period, reflect the risk captured by bank balance sheet ratios. We find that the determinants of bank CDS spreads vary strongly across time, as economic and financial conditions vary. TIER 1 ratio and leverage appear insignificant in all of the three periods considered, while liquidity indicators become significant only during the crisis and post crisis period.

Suggested Citation

  • Laura Chiaramonte & Barbara Casu, 2013. "The determinants of bank CDS spreads: evidence from the financial crisis," The European Journal of Finance, Taylor & Francis Journals, vol. 19(9), pages 861-887, October.
    • Handle: RePEc:taf:eurjfi:v:19:y:2013:i:9:p:861-887
    DOI: 10.1080/1351847X.2011.636832
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/1351847X.2011.636832
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/1351847X.2011.636832?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:eurjfi:v:19:y:2013:i:9:p:861-887. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/REJF20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.