企业信用违约掉期系统性因素

IF 1.8 4区经济学 Q2 BUSINESS, FINANCE

Journal of Futures Markets Pub Date : 2024-04-16 DOI:10.1002/fut.22505

Ka Kei Chan, Ming-Tsung Lin, Qinye Lu

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引用次数: 0

摘要

我们研究了信用违约掉期（CDS）的一整套系统性决定因素和公司特定决定因素，采用两步法探讨了这些因素对 CDS 利差变化的影响。我们的研究表明，系统性因素非常重要，对 CDS 利差变化的影响最大（平均 R2${R}^{2}$ 为 35%），而公司特定因素的影响有限（面板回归的 R2${R}^{2}$ 为 5%），28 个公司特定因素中只有 4 个显著。这意味着系统性因素在文献中被忽视了，它们可以为 CDS 定价和公司信用风险管理的从业人员提供许多启示。

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Corporate credit default swap systematic factors

We examine a comprehensive set of systematic and firm-specific determinants of the credit default swap (CDS), using a two-step approach to explore the factor's effect on CDS spread changes. We show that systematic factors are important and account for the most changes in the CDS spreads (with average $R^{2}$ of 35%), while firm-specific factors are limited (with $R^{2}$ of 5% in panel regression) with only 4 out of 28 firm-specific factors being significant. It implies that the systematic factors are overlooked in the literature, and they can provide many implications for practitioners in CDS pricing and the firm's credit risk management.

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来源期刊

Journal of Futures Markets BUSINESS, FINANCE-

CiteScore

3.70

自引率

15.80%

发文量

期刊介绍： The Journal of Futures Markets chronicles the latest developments in financial futures and derivatives. It publishes timely, innovative articles written by leading finance academics and professionals. Coverage ranges from the highly practical to theoretical topics that include futures, derivatives, risk management and control, financial engineering, new financial instruments, hedging strategies, analysis of trading systems, legal, accounting, and regulatory issues, and portfolio optimization. This publication contains the very latest research from the top experts.