The Determinants of CDS Spreads: The Case of UK Companies
Identifikátory výsledku
Kód výsledku v 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>
Výsledek na webu
<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>
Alternativní jazyky
Jazyk výsledku
angličtina
Název v původním jazyce
The Determinants of CDS Spreads: The Case of UK Companies
Popis výsledku v původním jazyce
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.
Název v anglickém jazyce
The Determinants of CDS Spreads: The Case of UK Companies
Popis výsledku anglicky
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.
Klasifikace
Druh
D - Stať ve sborníku
CEP obor
AH - Ekonomie
OECD FORD obor
—
Návaznosti výsledku
Projekt
—
Návaznosti
S - Specificky vyzkum na vysokych skolach
Ostatní
Rok uplatnění
2015
Kód důvěrnosti údajů
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Údaje specifické pro druh výsledku
Název statě ve sborníku
2ND GLOBAL CONFERENCE ON BUSINESS, ECONOMICS, MANAGEMENT AND TOURISM
ISBN
—
ISSN
2212-5671
e-ISSN
—
Počet stran výsledku
6
Strana od-do
1302-1307
Název nakladatele
ELSEVIER SCIENCE BV
Místo vydání
AMSTERDAM
Místo konání akce
Prague, CZECH REPUBLIC
Datum konání akce
29. 10. 2014
Typ akce podle státní příslušnosti
WRD - Celosvětová akce
Kód UT WoS článku
000360103600196