The Fundamental Determinants Of Credit Default Risk For European Large Complex Financial Institutions

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 data over 2004 - 08 for 29 European LCFIs. The results from a dynamic panel data estimator show that LCFIs' business models, earnings potential, and economic uncertainty (represented by market expectations about the future risks of a particular LCFI and market views on prospects for economic growth) are among the most significant determinants of credit risk.

Provided by: International Monetary Fund Topic: CXO Date Added: Jun 2010 Format: PDF

Download Now

Find By Topic