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- W1998529070 abstract "This article explores the ability of variables suggested by structural models to explain variation in credit default swap (CDS) spread changes. Using monthly changes in CDS spreads for 333 firms from January 2001–March 2006, Greatrex finds that these variables are able to explain 35% of the variation in CDS spread changes. A rating-based CDS index that accounts for overall market conditions is the single best predictor of CDS spread changes. Leverage and volatility, however, are also key determinants, as these two variables can account for approximately half of the explained variation in monthly CDS spread changes. <b>TOPICS:</b>Credit default swaps, information providers/credit ratings, statistical methods, volatility measures" @default.
- W1998529070 created "2016-06-24" @default.
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- W1998529070 date "2008-12-31" @default.
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- W1998529070 title "Credit Default Swap Market Determinants" @default.
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- W1998529070 doi "https://doi.org/10.3905/jfi.2009.18.3.018" @default.
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