- Author
- Nicolas Soenen (UGent) and Rudi Vander Vennet (UGent)
- Organization
- Project
- Abstract
- Using bank CDS spreads, we examine three types of determinants of Euro Area bank default risk in the period 2008-2019: bank characteristics related to new regulation, the bank-sovereign nexus and the monetary policy stance. We find that Basel 3 regulation improves the banks' risk profile since higher capital ratios and more stable deposit funding contribute significantly to lower CDS spreads. We confirm the persistence of the bank-sovereign interconnectedness and find that sovereign default risk is transmitted to bank risk with an amplification factor. The ECB monetary policy stance is neutral with respect to bank risk, hence we find no evidence of perceived excessive risk-taking behavior.
- Keywords
- Bank default risk, CDS spreads, Monetary policy, Sovereign risk, MONETARY-POLICY, CDS SPREADS, PERFORMANCE
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Citation
Please use this url to cite or link to this publication: http://hdl.handle.net/1854/LU-8737571
- MLA
- Soenen, Nicolas, and Rudi Vander Vennet. “Determinants of European Banks’ Default Risk.” FINANCE RESEARCH LETTERS, vol. 47, no. Part A, 2022, doi:10.1016/j.frl.2021.102557.
- APA
- Soenen, N., & Vander Vennet, R. (2022). Determinants of European banks’ default risk. FINANCE RESEARCH LETTERS, 47(Part A). https://doi.org/10.1016/j.frl.2021.102557
- Chicago author-date
- Soenen, Nicolas, and Rudi Vander Vennet. 2022. “Determinants of European Banks’ Default Risk.” FINANCE RESEARCH LETTERS 47 (Part A). https://doi.org/10.1016/j.frl.2021.102557.
- Chicago author-date (all authors)
- Soenen, Nicolas, and Rudi Vander Vennet. 2022. “Determinants of European Banks’ Default Risk.” FINANCE RESEARCH LETTERS 47 (Part A). doi:10.1016/j.frl.2021.102557.
- Vancouver
- 1.Soenen N, Vander Vennet R. Determinants of European banks’ default risk. FINANCE RESEARCH LETTERS. 2022;47(Part A).
- IEEE
- [1]N. Soenen and R. Vander Vennet, “Determinants of European banks’ default risk,” FINANCE RESEARCH LETTERS, vol. 47, no. Part A, 2022.
@article{8737571,
abstract = {{Using bank CDS spreads, we examine three types of determinants of Euro Area bank default risk in the period 2008-2019: bank characteristics related to new regulation, the bank-sovereign nexus and the monetary policy stance. We find that Basel 3 regulation improves the banks' risk profile since higher capital ratios and more stable deposit funding contribute significantly to lower CDS spreads. We confirm the persistence of the bank-sovereign interconnectedness and find that sovereign default risk is transmitted to bank risk with an amplification factor. The ECB monetary policy stance is neutral with respect to bank risk, hence we find no evidence of perceived excessive risk-taking behavior.}},
articleno = {{102557}},
author = {{Soenen, Nicolas and Vander Vennet, Rudi}},
issn = {{1544-6123}},
journal = {{FINANCE RESEARCH LETTERS}},
keywords = {{Bank default risk,CDS spreads,Monetary policy,Sovereign risk,MONETARY-POLICY,CDS SPREADS,PERFORMANCE}},
language = {{eng}},
number = {{Part A}},
pages = {{6}},
title = {{Determinants of European banks’ default risk}},
url = {{http://doi.org/10.1016/j.frl.2021.102557}},
volume = {{47}},
year = {{2022}},
}
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