KAJUROVÁ, Veronika. CDS Spreads Determinants of European Companies. In Aaro Hazak. 6th International Conference "Economic Challenges in Enlarged Europe" - Conference Proceedings. Tallin: Tallinn University of Technology, 2014. p. 1-11. ISSN 2382-6797.
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Basic information
Original name CDS Spreads Determinants of European Companies
Authors KAJUROVÁ, Veronika (203 Czech Republic, guarantor, belonging to the institution).
Edition Tallin, 6th International Conference "Economic Challenges in Enlarged Europe" - Conference Proceedings, p. 1-11, 11 pp. 2014.
Publisher Tallinn University of Technology
Other information
Original language English
Type of outcome Proceedings paper
Field of Study 50600 5.6 Political science
Country of publisher Czech Republic
Confidentiality degree is not subject to a state or trade secret
Publication form storage medium (CD, DVD, flash disk)
RIV identification code RIV/00216224:14560/14:00075853
Organization unit Faculty of Economics and Administration
ISSN 2382-6797
Keywords in English credit default swap; determinant; panel regression; spread
Tags International impact, Reviewed
Changed by Changed by: Ing. Veronika Kajurová, Ph.D., učo 390048. Changed: 13. 3. 2015 14:44.
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 reference entities. Panel data regressions are employed in order to explore the influence of selected determinants in the pre-crisis, crisis and post-crisis period within individual rating groups. Company specific 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.
MUNI/A/0786/2013, interní kód MUName: Analýza a predikce vývoje cen finančních a investičních nástrojů
Investor: Masaryk University, Category A
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