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.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: SFB 649 Discussion Paper ; No. 2012-063

Klassifikation und Themen

• Klassifikation: 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
• Thema: credit default swaps ; common factors ; credit risk ; Kreditderivat ; Kreditrisiko ; Risikoprämie ; Hauptkomponentenanalyse ; Schätzung ; Finanzkrise ; Welt

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Chen, Yi-hsuan ; Härdle, Wolfgang Karl
• Ereignis: Veröffentlichung
• (wer): Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk
• (wo): Berlin
• (wann): 2012

Weitere Informationen

• Handle: http://hdl.handle.net/10419/79599
• Letzte Aktualisierung: 10.03.2025, 11:42 MEZ