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dc.contributor.authorKolokolova, Olgaen
dc.contributor.authorLin, Ming-Tsungen
dc.contributor.authorPoon, Ser-Huanen
dc.date.accessioned2017-03-17T10:58:23Z
dc.date.available2017-03-17T10:58:23Z
dc.date.issued2017
dc.identifier.citationLin, M.-T., Kolokolova, O. and Poon, S.-H. (2017) Systematic and Firm-specific Risks of CDS Spreads: Credit and Liquidity under Scrutiny. (December 5, 2016). Available at SSRN: https://ssrn.com/abstract=2398876 or http://dx.doi.org/10.2139/ssrn.2398876en
dc.identifier.urihttp://hdl.handle.net/2086/13703
dc.description.abstractUsing a sample of 356 U.S. non-financial firms from 2002 to 2011, we derive endogenous systematic credit risk and Credit Default Swap (CDS) illiquidity factors, and show that they dominate firm-specific and exogenous market factors as determinants of individual firms’ CDS spreads. Our model performs well for cross-sectional predictions and can be used for estimating CDS spreads for firms that do not have traded CDSs. Our findings question Basel III’s adoption of CDS-implied probability for counterparty risk management, as CDS spread is not a pure individual firm default risk measure devoid of market credit and illiquidity premia.en
dc.language.isoenen
dc.subjectCDS spreaden
dc.subjectcredit risken
dc.subjectliquidity risken
dc.subjectsystematic factorsen
dc.titleSystematic and Firm-specific Risks of CDS Spreads: Credit and Liquidity under Scrutinyen
dc.typeWorking Paperen
dc.identifier.doihttp://dx.doi.org/10.2139/ssrn.2398876
dc.researchgroupFiBReen
dc.funderN/Aen
dc.projectidN/Aen
dc.cclicenceN/Aen


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