Common factors in credit defaults swaps markets

Arbeitspapier

We examine what are common factors that determine systematic credit risk and estimate and interpret the common risk factors. We also compare the contributions of common factors in explaining the changes of credit default swap (CDS) spreads during the pre-crisis, crisis and post-crisis period. Based on the testing result from the common principal components model, this study finds that the eigenstructures across the three subperiods are distinct and the determinants of risk factors differ from three subperiods. Furthermore, we analyze the predictive ability of dynamics in CDS indices changes by dynamic factor models.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: SFB 649 Discussion Paper ; No. 2012-063

Classification and Topics

• Classification: Wirtschaft ; Multiple or Simultaneous Equation Models: Classification Methods; Cluster Analysis; Principal Components; Factor Models ; Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill ; Interest Rates: Determination, Term Structure, and Effects
• Subject: credit default swaps ; common factors ; credit risk ; Kreditderivat ; Kreditrisiko ; Risikoprämie ; Hauptkomponentenanalyse ; Schätzung ; Finanzkrise ; Welt

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Chen, Yi-hsuan ; Härdle, Wolfgang Karl
• Event: Veröffentlichung
• (who): Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk
• (where): Berlin
• (when): 2012

Further information

• Handle: http://hdl.handle.net/10419/79599
• Last update: 10.03.2025, 11:42 AM CET