Stock Prices and CDS-spreads as Bank Default Indicators in the European Banking Sector
The importance of the health of the banking sector cannot be underestimated, especially not after the recent financial crisis. Credit rating agencies base their ratings on backward-looking accounting information which cannot be used to predict a bank default. Therefore, it is of high relevance to develop market-based measures of default to give a point-in-time indication of the health of the banki