The empirical determinants of credit default swap spreads: a quantile regression approach

We study the empirical determinants of Credit Default Swap (CDS) spreads through quantile regressions. In addition to traditional variables, such as implied volatility, put skew, historical stock return, leverage, profitability, and ratings, the results indicate that CDS premiums are strongly determ...

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Bibliographic Details
Main Author: Pires, P. (author)
Other Authors: Pereira, J. (author), Martins, L. F. (author)
Format: article
Language:eng
Published: 2016
Subjects:
Credit default swap
Credit risk
Liquidity
Quantile regression
Online Access:http://hdl.handle.net/10071/10837
Country:Portugal
Oai:oai:repositorio.iscte-iul.pt:10071/10837

Internet

http://hdl.handle.net/10071/10837

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