The Fundamental Determinants of Credit Default Risk for European Large Complex Financial Institutions »
Series: IMF Working Papers
Author(s): Jiri Podpiera , and Inci Ötker
Publisher: INTERNATIONAL MONETARY FUND
Publication Date: 01 June 2010
Keywords: Large Complex Financial Institutions, dynamic panel data, CAMELS, vulnerability analysis, bond, autocorrelation, corporate bond, statistics, standard errors, Financial Institutions and Services: Government Policy and Regulation
This paper attempts to identify the fundamental variables that drive the credit default swaps during the initial phase of distress in selected European Large Complex Financial Institutions (LCFIs). It uses yearly d...