The Determinants of CDS Spreads: The Case of UK Companies

D 2015

The Determinants of CDS Spreads: The Case of UK Companies

KAJUROVÁ, Veronika

Základní údaje

Originální název

The Determinants of CDS Spreads: The Case of UK Companies

Autoři

KAJUROVÁ, Veronika

Vydání

23. vyd. AMSTERDAM, 2ND GLOBAL CONFERENCE ON BUSINESS, ECONOMICS, MANAGEMENT AND TOURISM, od s. 1302-1307, 6 s. 2015

Nakladatel

ELSEVIER SCIENCE BV

Další údaje

Jazyk

angličtina

Typ výsledku

Stať ve sborníku

Obor

50200 5.2 Economics and Business

Stát vydavatele

Česká republika

Utajení

není předmětem státního či obchodního tajemství

Forma vydání

elektronická verze "online"

Označené pro přenos do RIV

Ano

Kód RIV

RIV/00216224:14560/15:00089028

Organizační jednotka

Ekonomicko-správní fakulta

ISSN

DOI

https://doi.org/10.1016/S2212-5671(15)00433-5

UT WoS

000360103600196

Klíčová slova anglicky

Credit default swap spread; determinant; panel data regression

Příznaky

Mezinárodní význam, Recenzováno

Změněno: 12. 12. 2016 15:09, Mgr. Daniela Marcollová

Anotace

V originále

Credit default swap spreads are considered as a measure of credit risk and as a leading indicator of the future development of creditworthiness, which can reflect the potential situation, resp. financial health of a company. Thus 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 have the most significant influence on the spreads of credit default swaps issued on the debt of UK entities. A panel data regression is employed in order to explore the influence of selected determinants. The theoretical factors at companies' level and market determinants are taken into consideration - leverage, liquidity, equity volatility, risk free interest rate, slope of term structure, market return and market volatility. The role of observed variables is investigated in three periods - before, during and after the financial crisis and within the individual rating groups. The results are consistent with theoretical assumptions in most of the cases. The theoretical determinants have an explanatory power, but the power of individual variables was different in the particular periods. The findings can be beneficial for investors, as well as for analysts, risk managers or decision makers. (C) 2014 The Authors. Published by Elsevier B.V.

Návaznosti

MUNI/A/0786/2013, interní kód MU

Název: Analýza a predikce vývoje cen finančních a investičních nástrojů

Investor: Masarykova univerzita, Analýza a predikce vývoje cen finančních a investičních nástrojů, DO R. 2020_Kategorie A - Specifický výzkum - Studentské výzkumné projekty

Přiložené soubory

Kajurova.pdf

Požádat o autorskou verzi souboru

Citovat

KAJUROVÁ, Veronika. The Determinants of CDS Spreads: The Case of UK Companies. Online. In Iacob, AI. 2ND GLOBAL CONFERENCE ON BUSINESS, ECONOMICS, MANAGEMENT AND TOURISM. 23. vyd. AMSTERDAM: ELSEVIER SCIENCE BV, 2015, s. 1302-1307. ISSN 2212-5671. Dostupné z: https://doi.org/10.1016/S2212-5671(15)00433-5.

@inproceedings{1205470,
   author = {Kajurová, Veronika},
   address = {AMSTERDAM},
   booktitle = {2ND GLOBAL CONFERENCE ON BUSINESS, ECONOMICS, MANAGEMENT AND TOURISM},
   doi = {https://doi.org/10.1016/S2212-5671(15)00433-5},
   edition = {23},
   editor = {Iacob, AI},
   keywords = {Credit default swap spread; determinant; panel data regression},
   howpublished = {elektronická verze "online"},
   language = {eng},
   location = {AMSTERDAM},
   pages = {1302-1307},
   publisher = {ELSEVIER SCIENCE BV},
   title = {The Determinants of CDS Spreads: The Case of UK Companies},
   year = {2015}
}

TY  - CONF
ID  - 1205470
AU  - Kajurová, Veronika
PY  - 2015
TI  - The Determinants of CDS Spreads: The Case of UK Companies
PB  - ELSEVIER SCIENCE BV
CY  - AMSTERDAM
KW  - Credit default swap spread
KW  - determinant
KW  - panel data regression
N2  - Credit default swap spreads are considered as a measure of credit risk and as a leading indicator of the future development of creditworthiness, which can reflect the potential situation, resp. financial health of a company. Thus 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 have the most significant influence on the spreads of credit default swaps issued on the debt of UK entities. A panel data regression is employed in order to explore the influence of selected determinants. The theoretical factors at companies' level and market determinants are taken into consideration - leverage, liquidity, equity volatility, risk free interest rate, slope of term structure, market return and market volatility. The role of observed variables is investigated in three periods - before, during and after the financial crisis and within the individual rating groups. The results are consistent with theoretical assumptions in most of the cases. The theoretical determinants have an explanatory power, but the power of individual variables was different in the particular periods. The findings can be beneficial for investors, as well as for analysts, risk managers or decision makers. (C) 2014 The Authors. Published by Elsevier B.V.
ER  -

KAJUROVÁ, Veronika. The Determinants of CDS Spreads: The Case of UK Companies. Online. In Iacob, AI. \textit{2ND GLOBAL CONFERENCE ON BUSINESS, ECONOMICS, MANAGEMENT AND TOURISM}. 23. vyd. AMSTERDAM: ELSEVIER SCIENCE BV, 2015, s.~1302-1307. ISSN~2212-5671. Dostupné z: https://doi.org/10.1016/S2212-5671(15)00433-5.

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