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• W2181546743 abstract "Since the financial crisis in 2007, policy makers and regulators have had an increasing interest in credit derivatives, in particular in credit default swap (CDS) agreements. The main point concerns the fears that speculative operations of these instruments on the market continue to generate and increase the tensions in the financial markets. The purpose of this paper is to examine the factors which define the changes of CDS premiums, therefore, to analyse the indicator ability of CDS spreads on the credit market. In detail, the empirical analysis is focused on a sample of 18 European corporate listed on the Stock Exchange holding five-year CDS spreads. The timeline considered is from 1 st January 2005 to 31 st December 2011, taking into account both the period before the financial crisis and that immediately after. Data has been elaborated from Datastream and Bloomberg. The choice to analyze the European companies has been made to verify the behaviour of the determinants of CDS in a market that has very different characteristics compared to the U.S (both structural and regulatory). An aspect that deserves special attention is the loss of significance of the leverage variable, as it is not consistent with the finding of the Merton’s Model." @default.
• W2181546743 created "2016-06-24" @default.
• W2181546743 creator A5038155635 @default.
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• W2181546743 date "2014-01-01" @default.
• W2181546743 modified "2023-09-23" @default.
• W2181546743 title "CDS Spreads: an Empirical Analysis on the Determinants" @default.
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