CDS Spreads Determinants of European Companies

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216224%3A14560%2F14%3A00075853" target="_blank" >RIV/00216224:14560/14:00075853 - isvavai.cz</a>

Výsledek na webu

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DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

CDS Spreads Determinants of European Companies

Popis výsledku v původním jazyce

Credit default swap spreads can reflect the potential situation, resp. financial health of a company, and also are considered as a measure of credit risk and as a leading indicator of the future development of company's creditworthiness. Investors shouldpay attention to the factors that can affect credit default swap spreads. The aim of this study is to find out which determinants had the influence on the spreads of credit default swaps issued on the debt of the European reference entities. Panel dataregressions are employed in order to explore the influence of selected determinants in the pre-crisis, crisis and post-crisis period within individual rating groups. Company specific and market determinants are taken into consideration. In most of the cases, the results are consistent with theoretical assumptions, but explanatory power of determinants varied across time and rating categories.

Název v anglickém jazyce

CDS Spreads Determinants of European Companies

Popis výsledku anglicky

Credit default swap spreads can reflect the potential situation, resp. financial health of a company, and also are considered as a measure of credit risk and as a leading indicator of the future development of company's creditworthiness. Investors shouldpay attention to the factors that can affect credit default swap spreads. The aim of this study is to find out which determinants had the influence on the spreads of credit default swaps issued on the debt of the European reference entities. Panel dataregressions are employed in order to explore the influence of selected determinants in the pre-crisis, crisis and post-crisis period within individual rating groups. Company specific and market determinants are taken into consideration. In most of the cases, the results are consistent with theoretical assumptions, but explanatory power of determinants varied across time and rating categories.

Druh

D - Stať ve sborníku

CEP obor

AE - Řízení, správa a administrativa

OECD FORD obor

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Projekt

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Návaznosti

S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2014

Kód důvěrnosti údajů

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

Název statě ve sborníku

6th International Conference "Economic Challenges in Enlarged Europe" - Conference Proceedings

ISBN

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ISSN

2382-6797

e-ISSN

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Počet stran výsledku

11

Strana od-do

1-11

Název nakladatele

Tallinn University of Technology

Místo vydání

Tallin

Místo konání akce

Tallinn

Datum konání akce

1. 1. 2014

Typ akce podle státní příslušnosti

WRD - Celosvětová akce

Kód UT WoS článku

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