The relationship between distance-to-default and CDS spreads as measures of default risk for European banks
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- Kim Ristolainen, 2016. "The relationship between distance-to-default and CDS spreads as measures of default risk for European banks," Journal of Banking and Financial Economics, University of Warsaw, Faculty of Management, vol. 1(5), pages 121-143, June.
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More about this item
Keywordsfinancial stability; European banks; distance-to-default; credit default swap; lead-lag relationship;
All these keywords.
- G01 - Financial Economics - - General - - - Financial Crises
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
- G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
- G33 - Financial Economics - - Corporate Finance and Governance - - - Bankruptcy; Liquidation
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-BAN-2015-10-04 (Banking)
- NEP-CFN-2015-10-04 (Corporate Finance)
- NEP-RMG-2015-10-04 (Risk Management)
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