Determinants of iTraxx Europe Senior Financials Index Spreads

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216224%3A14560%2F14%3A00075836" target="_blank" >RIV/00216224:14560/14:00075836 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Result language
angličtina
Original language name
Determinants of iTraxx Europe Senior Financials Index Spreads
Original language description
Credit default swap spreads are considered as a leading indicator of the future development of creditworthiness, which can point out the potential situation in a company or the economy. Therefore the attention should be paid to the factors that can affect credit default swap spreads, which can have an impact on the investors' decisions. The aim of this study is to examine the influence of CDS spread determinants on daily and weekly changes in iTraxx Europe index that includes 25 equally weighted creditdefault swaps on investment grade European entities. To capture the changing role of the selected determinants, a linear regression is employed in the pre-crisis, financial crisis and post-crisis period. The findings could be beneficial for the participants in the financial markets, as well as for the policy makers both at national and European level.
Czech name
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Czech description
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Publication year
2014
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
Proceedings of the 2nd International Conference on European Integration 2014
ISBN
9788024833880
ISSN
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e-ISSN
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Number of pages
6
Pages from-to
304-309
Publisher name
VŠB - Technical University of Ostrava
Place of publication
Ostrava
Event location
Ostrava
Event date
Jan 1, 2014
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
000346144900033

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