Corporate Credit Default Swap Systematic Factors
Copyright policy )Corporate Credit Default Swap Systematic Factors
AbstractWe examine a comprehensive set of systematic and firm‐specific determinants of the credit default swap (CDS), using a two‐step approach to explore the factor's effect on CDS spread changes. We show that systematic factors are important and account for the most changes in the CDS spreads (with average of 35%), while firm‐specific factors are limited (with of 5% in panel regression) with only 4 out of 28 firm‐specific factors being significant. It implies that the systematic factors are overlooked in the literature, and they can provide many implications for practitioners in CDS pricing and the firm's credit risk management.
- University of Essex
- UNIVERSITY OF ESSEX
- University of Brighton United Kingdom
- University of Essex United Kingdom
- University of Essex
330, CDS systematic factors, credit risk, CDS determinants, credit default swap, CDS firm‐specific factors
330, CDS systematic factors, credit risk, CDS determinants, credit default swap, CDS firm‐specific factors
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