Annex 1. Dataset Comparison

• Author: Maccaferri, Sara; Bellia, Mario
• Pages: 45-50

45

Annexes

Annex 1. Dataset Comparison

Table 43: Datas et comparison – Senior CDS spre ads

BANK

COUNTRY

JRC REDUCED SAMPLE

DIFFERENCES (IN BP) WRT SCHÄFER ET AL

(2017) DATASET

OBS

MEAN

STD

MIN

MAX

MEAN

STD

MIN

MAX

BAWAG PS K Ba nk fuer Arbeit und

Wirtscha ft und Oesterreichische

Aust ria

639

-0.122

4.109

-26.8 5

26.9 3

-0.0 21

-0.0 36

-

-

Erst e Group Bank AG

Aust ria

639

-0.0 89

3.181

-20.9 76

19.48

-0.0 17

-0.0 22

-

-

Ra iffeisen Bank International AG

Aust ria

521

-0.143

2.99 3

-19.59

19.15

-0.0 09

-0.79 2

5.87

-8.71

KBC Bank NV

Belgium

639

-0.10 9

4.406

-24.83

54.63

-0.0 09

-0.0 26

-

-

DEXIA

Belgium

639

-0.112

10.58 2

-59.6 75

86 .04

-0.10 9

2.226

12.743

27.27

Dans ke Bank A/S

Denma rk

639

-0.10 5

3.76

-37.71

29.8 3

0.0 02

0.0 07

-

-

So ciete Generale SA

France

639

-0.122

5.798

-31.84

30.76

-0.0 44

-0.0 53

-

-

BANQUE FEDERATIVE DE CREDIT MUTUEL

France

639

0.0 35

3.217

-7.6

57

0.20 3

-2.07

37.09

12.18

BNP Paribas SA

France

639

-0.0 61

4.624

-20.76

26.0 9

-0.0 3

-0.0 74

-

-

Credit Agrico le SA

France

639

-0.0 89

6.0 7

-28.9 6

34.49

-0.0 43

-0.0 26

-

-

Credit Lyonn ais SA

France

639

-0.0 84

6.6 9

-31.41

39.8 4

-0.0 4

0.0 95

0.9 9

6.35

Natixis SA

France

639

-0.0 58

3.362

-19.2

24.235

-

-

-

-

Bayeris che Landesbank

German y

639

0.0 74

3.576

-22.48

32.63

0.0 47

-0.0 95

18.28

3.38

Commerzban k AG

German y

639

0.0 08

6.132

-41.2

63.21

-0.0 19

-0.6 15

-0.0 1

-37.31

Deuts che Bank AG

German y

639

-0.0 47

3.755

-17.15

17.6

-0.0 2

-0.0 34

-

-

HS H NORDBANK

German y

639

0.0 23

4.90 9

-25.9

86 .595

0.0 16

0.0 77

13.43

47.225

IKB Deuts che Industriebank AG

German y

639

-0.227

4.419

-21.88

21.01

-0.0 22

-0.0 53

-

-1.77

Landes bank Baden Wuerttemberg

German y

639

-0.0 05

3.395

-19.6 9

34.68

-

-0.0 8

-

-5.04

Landes bank Hes sen Thueringen

Giroze ntrale

German y

639

-0.0 78

4.52

-33.4

35.65

-

-

-

-

Po rtigon AG

German y

639

0.19 5

5.455

-39.39

59.8 1

UniCre dit Bank AG

German y

639

-0.18 6

2.98 9

-17.48

14.62

0.0 48

0.0 43

4.82

-

NATIONAL BANK OF GREECE

Gree ce

639

-2.159

67.8 99

-

1112.33

552.53

0.0 01

-0.0 55

0.439

-5.36

Alpha Ban k SA

Gree ce

639

-1.383

37.90 8

-283.45

484.226

-1.409

29.6 62

-

799 .875

177.805

Bank of Ireland

Ireland

639

0.0 5

18.78 8

-100 .89

172.48

2.135

-1.14

193.2

201.176

Banca Italea se SpA

Italy

639

-0.0 29

8.216

-67.532

76.48

0.0 61

-0.48 9

1.37

-39.9 7

Intes a Sanpaolo SpA

Italy

639

-0.0 62

8.471

-36.8 3

35.87

0.0 07

-0.10 5

-0.0 42

-7.41

Medio banca Banca di Credito Finan ziario

Sp A

Italy

639

-0.0 42

6.8 87

-41.27

75.76

-0.0 95

-1.031

-2.93

-4.96 8

UniCre dit SpA

Italy

639

-0.0 28

8.8 92

-40.22

42.71

-0.0 03

-0.0 53

-

-

Union e di Banche Italiane SpA

Italy

639

-0.16 2

7.147

-67.8 9

53.444

-0.0 71

-0.10 1

-

-

Banca Mo nte dei Paschi di Siena SpA

Italy

639

0.256

13.96 7

-55.751

98 .707

0.0 01

-0.0 05

-

-

BANCO P OPOLARE

Italy

639

0.0 54

11.915

-47.225

49.78 5

-0.0 47

-0.139

-

-

Banca Na zionale del Lavoro SpA

Italy

639

-0.0 45

5.88

-29

43.14

ING Bank NV

Nethe rlands

639

-0.111

3.78

-19.26

20.13

-0.19 8

-10.79 9

87.742

-68 .35

SN S BANK

Nethe rlands

639

-0.41

10.43

-

182.725

41.3

-0.0 32

-0.156

-

-

Coop eratieve Rabobank UA

Nethe rlands

639

-0.0 84

2.405

-12.04

12.702

-0.0 21

-0.0 86

-

2.84

DNB Bank AS A

Norway

639

-0.0 19

2.419

-10.5

20.5

-0.56 8

3.43

-83.0 25

-48.56

Banco Co mercial Portugues SA

Po rtugal

639

-0.453

15.221

-125.88

77.34

-0.0 04

-0.0 14

-

-