Credit Default Swap come indicatore di rischio del sistema bancario: Un'analisi delle sue determinanti

Credit institutions, and banks in particular, have been the major responsible for the onset of the financial crisis, being though at the same time the organizations which more than others paid the consequences of it. Therefore, the Regulatory Authorities tried to enhance the reliance of the system in case of external shocks, by means of new capital and liquidity requirements. Given this increased attention around the stability of the system, this thesis seeks to investigate what are, and what have been, the major determinants in explaining changes in Credit Default Swaps, a specific type of credit derivative in which the spread paid by the protection buyer to ensure against the credit default of a given reference entity represents an immediate measure of the same reference entity's credit risk. By considering a sample of 25 European Banks for the period 2007 to 2017 with quarterly frequency, an analysis of the influence on credit spread changes of the structural variables of the Merton model, together with market variables and accounting-based variables has been carried on. Results displayed that the model performed better for more distressed banks and for more distressed periods. Market variables proved to be the most significant explanatory variables, whereas the explanatory power of Merton and accounting variables revealed to be highly time-variant, and not so strong in certain periods.