Publication details
CDS Spreads Determinants of the European Financial Institutions
| Authors | |
|---|---|
| Year of publication | 2014 |
| Type | Article in Proceedings |
| Conference | Proceedings of the 11th International Scientific Conference European Financial Systems 2014 |
| MU Faculty or unit | |
| Citation | |
| Field | Management and administrative |
| Keywords | credit default swap; determinant; panel regression; spread |
| Attached files | |
| Description | Credit default swap spreads can reflect the potential situation, resp. financial health of a company, and also are considered as a measure of credit risk and as a leading indicator of the future development of company's creditworthiness. Investors should pay attention to the factors that can affect credit default swap spreads. The aim of this study is to find out which determinants had the influence on the spreads of credit default swaps issued on the debt of the European financial reference entities. Panel data regression is employed in order to explore the influence of selected determinants in the pre-crisis, crisis and post-crisis period within individual rating groups. The theoretical factors at companies' level and market determinants are taken into consideration. In most of the cases, the results are consistent with theoretical assumptions, but explanatory power of determinants varied across time and rating categories. |
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