CDS spreads determinants of contracts included in Markit iTraxx Europe Senior Financials index

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216224%3A14560%2F15%3A00083196" target="_blank" >RIV/00216224:14560/15:00083196 - 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

CDS spreads determinants of contracts included in Markit iTraxx Europe Senior Financials index

Original language description

Credit default swap spreads can be used as an indicator of the potential situation in a firm or economy. The instruments for credit risk management become popular among investors and together with a boom of financial innovation, a credit default swap index contract was introduced in June 2004. Since credit default swap spreads represent an indicator of credit risk, the investors and other market participants are interested in factors that can affect credit default swap spread. The aim of this paper is to examine the influence of selected determinants of contracts included in iTraxx Europe Senior Financials index on credit default swap spreads using monthly changes. To capture the changing role of the selected determinants, a panel regression is employed in the crisis and the postcrisis periods. The results confirm the findings of previous research and show that the theoretical relationships hold in cases when observed determinants are statistically significant.

Czech name

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Czech description

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Type

J_x - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)

CEP classification

AE - Management, administration and clerical work

OECD FORD branch

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Project

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Continuities

S - Specificky vyzkum na vysokych skolach

Publication year

2015

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Name of the periodical

Acta academica karviniensia

ISSN

1212-415X

e-ISSN

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Volume of the periodical

15

Issue of the periodical within the volume

1

Country of publishing house

CZ - CZECH REPUBLIC

Number of pages

12

Pages from-to

82-93

UT code for WoS article

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EID of the result in the Scopus database

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