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

Claussen, Arndt ; Löhr, Sebastian ; Rösch, Daniel ; Scheule, Harald



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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