The Determinants of CDS Spreads: The Case of UK Companies

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216224%3A14560%2F15%3A00089028" target="_blank" >RIV/00216224:14560/15:00089028 - isvavai.cz</a>
Result on the web
<a href="http://dx.doi.org/10.1016/S2212-5671(15)00433-5" target="_blank" >http://dx.doi.org/10.1016/S2212-5671(15)00433-5</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1016/S2212-5671(15)00433-5" target="_blank" >10.1016/S2212-5671(15)00433-5</a>

Result language
angličtina
Original language name
The Determinants of CDS Spreads: The Case of UK Companies
Original language description
Credit default swap spreads are considered as a measure of credit risk and as a leading indicator of the future development of creditworthiness, which can reflect the potential situation, resp. financial health of a company. Thus investors should pay attention to the factors that can affect credit default swap spreads. The aim of this study is to find out which determinants have the most significant influence on the spreads of credit default swaps issued on the debt of UK entities. A panel data regression is employed in order to explore the influence of selected determinants. The theoretical factors at companies' level and market determinants are taken into consideration - leverage, liquidity, equity volatility, risk free interest rate, slope of term structure, market return and market volatility. The role of observed variables is investigated in three periods - before, during and after the financial crisis and within the individual rating groups.
Czech name
—
Czech description
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Publication year
2015
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
2ND GLOBAL CONFERENCE ON BUSINESS, ECONOMICS, MANAGEMENT AND TOURISM
ISBN
—
ISSN
2212-5671
e-ISSN
—
Number of pages
6
Pages from-to
1302-1307
Publisher name
ELSEVIER SCIENCE BV
Place of publication
AMSTERDAM
Event location
Prague, CZECH REPUBLIC
Event date
Oct 29, 2014
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
000360103600196

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