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...
| Autor principal: | |
|---|---|
| Outros Autores: | , |
| Formato: | article |
| Idioma: | eng |
| Publicado em: |
2016
|
| Assuntos: | |
| Texto completo: | http://hdl.handle.net/10071/10837 |
| País: | Portugal |
| Oai: | oai:repositorio.iscte-iul.pt:10071/10837 |