000			01934nam a2200217 4500
999			_c51039 _d51039
003			OSt
005			20190131125403.0
008			190131b ||||| |||| 00| 0 eng d
100			_aDi Febo, Elisa _933125
245			_aThe Relevance of Market Variables in the CDS Spread Volatility: An Empirical Post-crisis Analysis
300			_a1462–1477
520			_aThe 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.
653			_aCDS
653			_acredit risk,
653			_acredit spreads
653			_amarket variables
653			_apost-crisis
700			_aAngelini, Eliana _933126
773	0		_029349 _973686 _aBANIK, ARINDAM _dNEW DELHI SAGE PUBLISHING PVT. LTD. _o5559802 _tGLOBAL BUSINESS REVIEW _x0972-1509
942			_2ddc _cJA-ARTICLE