Systematic and Firm-specific Risks of CDS Spreads: Credit and Liquidity under Scrutiny
| dc.cclicence | N/A | en |
| dc.contributor.author | Kolokolova, Olga | en |
| dc.contributor.author | Lin, Ming-Tsung | en |
| dc.contributor.author | Poon, Ser-Huan | en |
| dc.date.accessioned | 2017-03-17T10:58:23Z | |
| dc.date.available | 2017-03-17T10:58:23Z | |
| dc.date.issued | 2017 | |
| dc.description.abstract | Using a sample of 356 U.S. non-financial firms from 2002 to 2011, we derive endogenous systematic credit risk and Credit Default Swap (CDS) illiquidity factors, and show that they dominate firm-specific and exogenous market factors as determinants of individual firms’ CDS spreads. Our model performs well for cross-sectional predictions and can be used for estimating CDS spreads for firms that do not have traded CDSs. Our findings question Basel III’s adoption of CDS-implied probability for counterparty risk management, as CDS spread is not a pure individual firm default risk measure devoid of market credit and illiquidity premia. | en |
| dc.funder | N/A | en |
| dc.identifier.citation | Lin, M.-T., Kolokolova, O. and Poon, S.-H. (2017) Systematic and Firm-specific Risks of CDS Spreads: Credit and Liquidity under Scrutiny. (December 5, 2016). Available at SSRN: https://ssrn.com/abstract=2398876 or http://dx.doi.org/10.2139/ssrn.2398876 | en |
| dc.identifier.doi | https://doi.org/10.2139/ssrn.2398876 | |
| dc.identifier.uri | http://hdl.handle.net/2086/13703 | |
| dc.language.iso | en | en |
| dc.projectid | N/A | en |
| dc.researchgroup | FiBRe | en |
| dc.subject | CDS spread | en |
| dc.subject | credit risk | en |
| dc.subject | liquidity risk | en |
| dc.subject | systematic factors | en |
| dc.title | Systematic and Firm-specific Risks of CDS Spreads: Credit and Liquidity under Scrutiny | en |
| dc.type | Working Paper | en |