NPLs Securitizations, CDS Spreads and Spillover Effect: Evidence from the European Banking System
Published online on July 03, 2023
Abstract
Global Business Review, Ahead of Print.
Using an original bank-level dataset, we test the impact and the spillover effect of non-performing loans (NPLs) securitization announcements on the Credit Default Swap (CDS) spreads of EU banks. We construct a dataset that includes information about NPLs ...
Using an original bank-level dataset, we test the impact and the spillover effect of non-performing loans (NPLs) securitization announcements on the Credit Default Swap (CDS) spreads of EU banks. We construct a dataset that includes information about NPLs ...