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: |
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| 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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