Hans-Peter Burghof, Philippe Schneider, Andreas Wengner
{"title":"The Impact of Credit Rating Announcements on Corporates' Credit Default Swap Spreads - Are There Intra-Industry Effects Observable?","authors":"Hans-Peter Burghof, Philippe Schneider, Andreas Wengner","doi":"10.2139/ssrn.2084916","DOIUrl":"https://doi.org/10.2139/ssrn.2084916","url":null,"abstract":"This study examines the impact of credit rating announcements from the three leading credit rating agencies (Moody's, S&P, Fitch)on the Credit Default Swap Spreads of corporates and their spillover effects within industries. We find, that both downgrades and upgrades have an impact on the CDS Spreads and lead to spillover effects around the event date. The degree of the reaction depends on the industry which is affected by the rating as well as on the credit rating agency. Our main finding is that CDS Spreads' market reaction is industry- and rating agency specific, which has important implications for the construction of portfolios with credit-sensitive instruments.","PeriodicalId":378972,"journal":{"name":"ERN: Swaps & Forwards (Topic)","volume":"36 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-04-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121941760","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"Anchoring Credit Default Swap Spreads to Firm Fundamentals","authors":"Jennie Bai, Liuren Wu","doi":"10.2139/ssrn.2020841","DOIUrl":"https://doi.org/10.2139/ssrn.2020841","url":null,"abstract":"This paper examines the capability of firm fundamentals in explaining the cross-sectional variation of credit default swap (CDS) spreads. The paper constructs a fundamental-based CDS valuation by combining the Merton distance-to-default measure with a long list of firm fundamental characteristics. Regressing market CDS quotes against the fundamental valuation cross-sectionally generates an average R-squared of 77%. The cross-sectional explanatory power is stable over time, and robust in out-of-sample tests. Deviations between market quotes and the fundamental valuation predict significantly future market movements. The results highlight the important role of firm fundamentals in differentiating the credit quality of different firms.","PeriodicalId":378972,"journal":{"name":"ERN: Swaps & Forwards (Topic)","volume":"16 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-03-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124490677","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"A Critical Empirical Study of Three Electricity Spot Price Models","authors":"F. Benth, Ruediger Kiesel, A. Nazarova","doi":"10.2139/ssrn.2214973","DOIUrl":"https://doi.org/10.2139/ssrn.2214973","url":null,"abstract":"We conduct an empirical analysis of three recently proposed and widely used models for electricity spot price process. The first model, called the jump-diffusion model, was proposed by Cartea and Figueroa (2005), and is a one-factor mean-reversion jump-diffusion model, adjusted to incorporate the most important characteristics of electricity prices. The second model, called the threshold model, was proposed by Roncoroni (2002) and further developed by Geman and Roncoroni (2006), and is an exponential Ornstein–Uhlenbeck process driven by a Brownian motion and a state-dependent compound Poisson process. It is designed to capture both statistical and pathwise properties of electricity spot prices. The third model, called the factor model, was proposed by Benth et al. (2007). It is an additive linear model, where the price dynamics is a superposition of Ornstein–Uhlenbeck processes driven by subordinators to ensure positivity of the prices. It separates the modelling of spikes and base components. We calibrate all three models to German spot price data. Besides employing techniques similar to those used in the original papers we adopt the prediction-based estimating function technique (Sorensen, 2000) and the filtering technique (Meyer-Brandis and Tankov, 2008). We critically compare the properties and the estimation of the three models and discuss several shortcomings and possible improvements. Besides analysing the spot price behaviour, we compute forward prices and risk premia for all three models for various German forward data and identify the key forward price drivers.","PeriodicalId":378972,"journal":{"name":"ERN: Swaps & Forwards (Topic)","volume":"16 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-11-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115362958","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"Einflussfaktoren Von CDS-Spreads Als Maß Für Das Aktuelle Bonitätsrisiko: Liefert Das Rating Eine Erklärung? (Factors Influencing CDS-Spreads)","authors":"Marc Mehlhorn","doi":"10.2139/ssrn.3663251","DOIUrl":"https://doi.org/10.2139/ssrn.3663251","url":null,"abstract":"Die vorliegende Arbeit untersucht, welche Faktoren einen Einfluss auf die Beurteilung der Zahlungsfahigkeit eines Unternehmens haben. Dazu werden zwei empirische Untersuchungen durchgefuhrt. Zunachst wird geklart, welche makrookonomischen Faktoren und unternehmensspezifischen Kennzahlen einen expliziten Einfluss auf die Beurteilung der Zahlungsfahigkeit von Unternehmen haben. Als Indikator fur die Bonitat eines Unternehmens werden funfjahrige Credit-Default-Swap-Spreads (CDS-Spreads) herangezogen. Es kann gezeigt werden, dass ausgewahlte makrookonomische Variablen einen starkeren Einfluss auf die Preisbildung am CDS-Markt besitzen als Ratings und unternehmensspezifische Kennzahlen. Diejenigen Faktoren, die in der Panel-Studie als signifikant identifiziert werden und taglich messbar sind, werden in einer zweiten Untersuchung auf Wechselwirkungen mit den CDS-Spreads analysiert. Diese Untersuchung gelangt zum Resultat, dass bei kurzfristiger Betrachtung nicht die in der Panel-Analyse als signifikant identifizierten erklarenden Faktoren, sondern die Eigendynamik des CDS-Marktes selbst die grosten Auswirkungen auf die Bildung der Marktpreise hat.","PeriodicalId":378972,"journal":{"name":"ERN: Swaps & Forwards (Topic)","volume":"6 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1900-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116334846","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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