The empirical determinants of credit default swap spreads: a quantile regression approach

Bibliographic Details
Main Author: Pires, P.
Publication Date: 2015
Other Authors: Pereira, J., Martins, L. F.
Format: Article
Language: eng
Source: Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)
Download full: http://hdl.handle.net/10071/10837
Summary: We study the empirical determinants of Credit Default Swap (CDS) spreads through quantile regressions. In addition to traditional variables, such as implied volatility, put skew, historical stock return, leverage, profitability, and ratings, the results indicate that CDS premiums are strongly determined by CDS illiquidity costs, measured by absolute bid-ask spreads. The quantile regression approach reveals that high-risk firms are more sensitive to changes in the explanatory variables that low-risk firms. Furthermore, the goodness-of-fit of the model increases with CDS premiums, which is consistent with the credit spread puzzle.
id RCAP_4bd26f49baa24f067ee9a1d5235c5f79
oai_identifier_str oai:repositorio.iscte-iul.pt:10071/10837
network_acronym_str RCAP
network_name_str Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)
repository_id_str https://opendoar.ac.uk/repository/7160
spelling The empirical determinants of credit default swap spreads: a quantile regression approachCredit default swapCredit riskLiquidityQuantile regressionWe study the empirical determinants of Credit Default Swap (CDS) spreads through quantile regressions. In addition to traditional variables, such as implied volatility, put skew, historical stock return, leverage, profitability, and ratings, the results indicate that CDS premiums are strongly determined by CDS illiquidity costs, measured by absolute bid-ask spreads. The quantile regression approach reveals that high-risk firms are more sensitive to changes in the explanatory variables that low-risk firms. Furthermore, the goodness-of-fit of the model increases with CDS premiums, which is consistent with the credit spread puzzle.Wiley-Blackwell2016-02-02T16:03:03Z2015-01-01T00:00:00Z20152019-05-13T14:27:54Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10071/10837eng1354-779810.1111/j.1468-036X.2013.12029.xPires, P.Pereira, J.Martins, L. F.info:eu-repo/semantics/embargoedAccessreponame:Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)instname:FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologiainstacron:RCAAP2024-07-07T02:41:37Zoai:repositorio.iscte-iul.pt:10071/10837Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireinfo@rcaap.ptopendoar:https://opendoar.ac.uk/repository/71602025-05-28T18:04:15.290116Repositórios Científicos de Acesso Aberto de Portugal (RCAAP) - FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologiafalse
dc.title.none.fl_str_mv The empirical determinants of credit default swap spreads: a quantile regression approach
title The empirical determinants of credit default swap spreads: a quantile regression approach
spellingShingle The empirical determinants of credit default swap spreads: a quantile regression approach
Pires, P.
Credit default swap
Credit risk
Liquidity
Quantile regression
title_short The empirical determinants of credit default swap spreads: a quantile regression approach
title_full The empirical determinants of credit default swap spreads: a quantile regression approach
title_fullStr The empirical determinants of credit default swap spreads: a quantile regression approach
title_full_unstemmed The empirical determinants of credit default swap spreads: a quantile regression approach
title_sort The empirical determinants of credit default swap spreads: a quantile regression approach
author Pires, P.
author_facet Pires, P.
Pereira, J.
Martins, L. F.
author_role author
author2 Pereira, J.
Martins, L. F.
author2_role author
author
dc.contributor.author.fl_str_mv Pires, P.
Pereira, J.
Martins, L. F.
dc.subject.por.fl_str_mv Credit default swap
Credit risk
Liquidity
Quantile regression
topic Credit default swap
Credit risk
Liquidity
Quantile regression
description We study the empirical determinants of Credit Default Swap (CDS) spreads through quantile regressions. In addition to traditional variables, such as implied volatility, put skew, historical stock return, leverage, profitability, and ratings, the results indicate that CDS premiums are strongly determined by CDS illiquidity costs, measured by absolute bid-ask spreads. The quantile regression approach reveals that high-risk firms are more sensitive to changes in the explanatory variables that low-risk firms. Furthermore, the goodness-of-fit of the model increases with CDS premiums, which is consistent with the credit spread puzzle.
publishDate 2015
dc.date.none.fl_str_mv 2015-01-01T00:00:00Z
2015
2016-02-02T16:03:03Z
2019-05-13T14:27:54Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10071/10837
url http://hdl.handle.net/10071/10837
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv 1354-7798
10.1111/j.1468-036X.2013.12029.x
dc.rights.driver.fl_str_mv info:eu-repo/semantics/embargoedAccess
eu_rights_str_mv embargoedAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Wiley-Blackwell
publisher.none.fl_str_mv Wiley-Blackwell
dc.source.none.fl_str_mv reponame:Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)
instname:FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologia
instacron:RCAAP
instname_str FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologia
instacron_str RCAAP
institution RCAAP
reponame_str Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)
collection Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)
repository.name.fl_str_mv Repositórios Científicos de Acesso Aberto de Portugal (RCAAP) - FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologia
repository.mail.fl_str_mv info@rcaap.pt
_version_ 1833597167582838784

Similar Items