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Corporate Credit Default Swap Systematic Factors

Chan, Ka Kei and Lin, Ming-Tsung and Lu, Qinye (2020) Corporate Credit Default Swap Systematic Factors. Working Paper. Essex Finance Centre Working Papers, Colchester, UK.. (Unpublished)

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Abstract

This study examines the statistical significance of systematic and firm-specific determinants of Credit Default Swap (CDS) price variations. We cast doubt on the firm-specific determinants showed in prior research to be statistical significance to CDS price variations. In this paper, two research questions are studied: (1) “Which and to what extent systematic factors can explain the individual CDS price variations?” and (2) “Which and to what extent the firm-specific factors can predict CDS spread variations that are not ex- plained by systematic factors?”. We find that systematic factors account for the majority changes of the CDS spreads (R2 = 35%). Merely 4 of 28 firm-specific factors are statistically significant predictors for CDS changes that are not explained by the systematic factors and they have little explanatory power (R2 = 8%). We document that individual CDS variations can

Item Type: Monograph (Working Paper)
Uncontrolled Keywords: Credit Default Swap (CDS), CDS Systematic Factors
Divisions: Faculty of Social Sciences > Essex Business School
Faculty of Social Sciences > Essex Business School > Essex Finance Centre
Depositing User: Elements
Date Deposited: 24 Nov 2020 15:35
Last Modified: 24 Nov 2020 15:35
URI: http://repository.essex.ac.uk/id/eprint/29019

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