Please use this identifier to cite or link to this item:
|Title:||The empirical determinants of credit default swap spreads: a quantile regression approach|
Martins, L. F.
|Keywords:||Credit default swap|
|Abstract:||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.|
|Appears in Collections:||BRU-RI - Artigos em revistas científicas internacionais com arbitragem científica|
Files in This Item:
|Pires_Pereira_Martins_EFM_2015_Empirical_determinants_CDS_spreads.pdf||Versão Editora||736.4 kB||Adobe PDF||View/Open Request a copy|
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.