The Relevance of Market Variables in the CDS Spread Volatility: An Empirical Post-crisis Analysis (Record no. 51039)
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| 000 -LEADER | |
|---|---|
| fixed length control field | 01934nam a2200217 4500 |
| 003 - CONTROL NUMBER IDENTIFIER | |
| control field | OSt |
| 005 - DATE AND TIME OF LATEST TRANSACTION | |
| control field | 20190131125403.0 |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION | |
| fixed length control field | 190131b ||||| |||| 00| 0 eng d |
| 100 ## - MAIN ENTRY--PERSONAL NAME | |
| Personal name | Di Febo, Elisa |
| 9 (RLIN) | 33125 |
| 245 ## - TITLE STATEMENT | |
| Title | The Relevance of Market Variables in the CDS Spread Volatility: An Empirical Post-crisis Analysis |
| 300 ## - PHYSICAL DESCRIPTION | |
| Extent | 1462–1477 |
| 520 ## - SUMMARY, ETC. | |
| Summary, etc | The purpose of this article is to examine the factors which define the changes of credit default swap (CDS) premiums, therefore, to analyse the indicator ability of CDS spreads on the credit market. The value of the ‘indicator’ of CDS spreads in the credit market has been recently highlighted due to the ‘failure’ of the rating agencies as an indicator to represent and ‘monitor’ the credit risk associate to an established reference entity. In detail, the empirical analysis is focused on a sample of 308 European corporates listed on the stock exchange holding five-year CDS spreads. The timeline considered is from 1 April 2005 to 31 March 2015, taking into account both the period pre- and post-financial crisis. Data has been elaborated from Bloomberg. The choice to analyse 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 USA (both structural and regulatory). In total period analysis, we find that both the firm variables and market variables are significant. In particularity, in post-financial crisis, only market variables are statistically significant and they have an explanatory power equal to 57 per cent.<br/><br/> |
| 653 ## - INDEX TERM--UNCONTROLLED | |
| Uncontrolled term | CDS |
| Uncontrolled term | credit risk, |
| Uncontrolled term | credit spreads |
| Uncontrolled term | market variables |
| Uncontrolled term | post-crisis |
| 700 ## - ADDED ENTRY--PERSONAL NAME | |
| Personal name | Angelini, Eliana |
| 9 (RLIN) | 33126 |
| 773 0# - HOST ITEM ENTRY | |
| Host Biblionumber | 29349 |
| Host Itemnumber | 73686 |
| Main entry heading | BANIK, ARINDAM |
| Place, publisher, and date of publication | NEW DELHI SAGE PUBLISHING PVT. LTD. |
| Other item identifier | 5559802 |
| Title | GLOBAL BUSINESS REVIEW |
| International Standard Serial Number | 0972-1509 |
| 942 ## - ADDED ENTRY ELEMENTS (KOHA) | |
| Source of classification or shelving scheme | Dewey Decimal Classification |
| Koha item type | Journal Article |
| Withdrawn status | Lost status | Source of classification or shelving scheme | Damaged status | Not for loan | Home library | Current library | Date acquired | Total Checkouts | Full call number | Barcode | Date last seen | Price effective from |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Dewey Decimal Classification | Main Library | Main Library | 31/01/2019 | Vol 19, No 6/ 5559802JA5 | 5559802JA5 | 31/01/2019 | 31/01/2019 |