The empirical determinants of credit default swap spreads: a quantile regression approach

Detalhes bibliográficos
Autor(a) principal: Pires, P.
Data de Publicação: 2015
Outros Autores: Pereira, J., Martins, L. F.
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10071/10837
Resumo: 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.
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spelling The empirical determinants of credit default swap spreads: a quantile regression approachCredit default swapCredit riskLiquidityQuantile regressionWe 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.Wiley-Blackwell2016-02-02T16:03:03Z2015-01-01T00:00:00Z20152019-05-13T14:27:54Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10071/10837eng1354-779810.1111/j.1468-036X.2013.12029.xPires, P.Pereira, J.Martins, L. F.info:eu-repo/semantics/embargoedAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-11-09T17:31:51Zoai:repositorio.iscte-iul.pt:10071/10837Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T22:14:20.248297Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv The empirical determinants of credit default swap spreads: a quantile regression approach
title The empirical determinants of credit default swap spreads: a quantile regression approach
spellingShingle The empirical determinants of credit default swap spreads: a quantile regression approach
Pires, P.
Credit default swap
Credit risk
Liquidity
Quantile regression
title_short The empirical determinants of credit default swap spreads: a quantile regression approach
title_full The empirical determinants of credit default swap spreads: a quantile regression approach
title_fullStr The empirical determinants of credit default swap spreads: a quantile regression approach
title_full_unstemmed The empirical determinants of credit default swap spreads: a quantile regression approach
title_sort The empirical determinants of credit default swap spreads: a quantile regression approach
author Pires, P.
author_facet Pires, P.
Pereira, J.
Martins, L. F.
author_role author
author2 Pereira, J.
Martins, L. F.
author2_role author
author
dc.contributor.author.fl_str_mv Pires, P.
Pereira, J.
Martins, L. F.
dc.subject.por.fl_str_mv Credit default swap
Credit risk
Liquidity
Quantile regression
topic Credit default swap
Credit risk
Liquidity
Quantile regression
description 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.
publishDate 2015
dc.date.none.fl_str_mv 2015-01-01T00:00:00Z
2015
2016-02-02T16:03:03Z
2019-05-13T14:27:54Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10071/10837
url http://hdl.handle.net/10071/10837
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv 1354-7798
10.1111/j.1468-036X.2013.12029.x
dc.rights.driver.fl_str_mv info:eu-repo/semantics/embargoedAccess
eu_rights_str_mv embargoedAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Wiley-Blackwell
publisher.none.fl_str_mv Wiley-Blackwell
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
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instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
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reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
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