KAJUROVÁ, Veronika. CDS spreads determinants of contracts included in Markit iTraxx Europe Senior Financials index. Acta academica karviniensia. Karviná: Slezská univerzita, Obchodně podnikatelská fakulta, 2015, vol. 15, No 1, p. 82-93. ISSN 1212-415X.
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Basic information
Original name CDS spreads determinants of contracts included in Markit iTraxx Europe Senior Financials index
Authors KAJUROVÁ, Veronika (203 Czech Republic, guarantor, belonging to the institution).
Edition Acta academica karviniensia, Karviná, Slezská univerzita, Obchodně podnikatelská fakulta, 2015, 1212-415X.
Other information
Original language English
Type of outcome Article in a journal
Field of Study 50600 5.6 Political science
Country of publisher Czech Republic
Confidentiality degree is not subject to a state or trade secret
RIV identification code RIV/00216224:14560/15:00083196
Organization unit Faculty of Economics and Administration
Keywords in English CDS index; credit default swap; determinant; iTraxx; panel regression; spread
Tags International impact, Reviewed
Changed by Changed by: Ing. Veronika Kajurová, Ph.D., učo 390048. Changed: 30. 6. 2015 14:24.
Abstract
Credit default swap spreads can be used as an indicator of the potential situation in a firm or economy. The instruments for credit risk management become popular among investors and together with a boom of financial innovation, a credit default swap index contract was introduced in June 2004. Since credit default swap spreads represent an indicator of credit risk, the investors and other market participants are interested in factors that can affect credit default swap spread. The aim of this paper is to examine the influence of selected determinants of contracts included in iTraxx Europe Senior Financials index on credit default swap spreads using monthly changes. To capture the changing role of the selected determinants, a panel regression is employed in the crisis and the postcrisis periods. The results confirm the findings of previous research and show that the theoretical relationships hold in cases when observed determinants are statistically significant. Furthermore we proved that the determinants are dependent on the prevailing market circumstances.
Links
MUNI/A/1127/2014, interní kód MUName: Analýza, tvorba a testování modelů oceňování finančních, zajišťovacích a investičních aktiv a jejich využití k predikci vzniku finančních krizí
Investor: Masaryk University, Category A
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