Determinants of Euro-Area Bank CDS Spreads

DOI10.1142/9789811202391_0060zbMath1454.91325OpenAlexW3081210538MaRDI QIDQ5139482

Dimitris A. Georgoutsos, George T. Moratis, Maria-Eleni K. Agoraki

Publication date: 9 December 2020

Published in: Handbook of Financial Econometrics, Mathematics, Statistics, and Machine Learning (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/9789811202391_0060

zbMATH Keywords

credit default swapsbank credit riskpanel vector auto-regressions

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

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