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Valuation of Systematic Risk in the Cross-Section of Credit Default Swap Spreads

Claussen, Arndt, Löhr, Sebastian, Rösch, Daniel and Scheule, Harald (2016) Valuation of Systematic Risk in the Cross-Section of Credit Default Swap Spreads. Quarterly Review of Economics and Finance 64, pp. 183-195.

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Abstract

We analyze the pricing of systematic risk factors in credit default swap (CDS) contracts in a two-stage empirical framework. Firstly we estimate contract-specific sensitivities (betas) to several systematic risk factors by time-series regressions using quoted CDS spreads of 339 U.S. entities from January 2004 to December 2010. Secondly, we show that these contract-specific sensitivities are ...

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Item type:Article
Date:2016
Institutions:Business, Economics and Information Systems > Institut für Betriebswirtschaftslehre > Lehrstuhl für Statistik und Risikomanagement (Prof. Dr. Rösch)
Identification Number:
ValueType
10.1016/j.qref.2016.06.007DOI
Keywords:Credit default swaps; Cross-section; Systematic risk
Dewey Decimal Classification:300 Social sciences > 330 Economics
Status:Published
Refereed:Yes, this version has been refereed
Created at the University of Regensburg:Partially
Item ID:36235
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