Abstract
We examine a comprehensive set of systematic and firm-specific determinants of the credit default swap (CDS), using a two-step approach to explore the factor's effect on CDS spread changes. We show that systematic factors are important and account for the most changes in the CDS spreads (with average (Formula presented.) of 35%), while firm-specific factors are limited (with (Formula presented.) of 5% in panel regression) with only 4 out of 28 firm-specific factors being significant. It implies that the systematic factors are overlooked in the literature, and they can provide many implications for practitioners in CDS pricing and the firm's credit risk management.
| Original language | English |
|---|---|
| Pages (from-to) | 1224-1256 |
| Number of pages | 33 |
| Journal | Journal of Futures Markets |
| Volume | 44 |
| Issue number | 7 |
| Early online date | 16 Apr 2024 |
| DOIs | |
| Publication status | Published - 31 Jul 2024 |
Bibliographical note
We thank the journal editor professor Bart Frijns and the anonymous reviewer for constructive feedback. We also thank the conference participants in 2021 EFiC Essex conference and 2022 FMARC Cyprus conference for helpful comments. All errors remain ours.Data Availability Statement
All data used is obtained from third‐party data providers. Data will be made available on request with the permission ofthe data providers.Keywords
- CDS determinants
- CDS firm-specific factors
- CDS systematic factors
- credit default swap
- credit risk
ASJC Scopus subject areas
- Economics and Econometrics
- Accounting
- General Business,Management and Accounting
- Finance