THE DETERMINANTS OF CREDIT DEFAULT SWAP RATES: AN EXPLANATORY STUDY

DOI10.1142/S0219024906003445MaRDI QIDQ3379408zbMATH OpenFDO

Authors Fathi Abid, Nader Naifar

Publication date 6 April 2006

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/S0219024906003445

zbMATH Keywords

credit derivativescredit riskmarket variablesrating

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

Recommendations

• The determinants of CDS spreads: evidence from the model space
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Cites work

• A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
• Hazard rate for credit risk and hedging defaultable contingent claims
• scientific article; zbMATH DE number 5529979 (Why is no real title available?)
• Optimal control of credit risk.
• Term Structures of Credit Spreads with Incomplete Accounting Information
• The pricing of options and corporate liabilities

Cited in

(8)

• Credit default swaps: implied ratings versus official ones
• Estimation and evaluation of the term structure of credit default swaps: An empirical study
• Credit Default Swaps and Bank Regulatory Capital*
• A credit default swap application by using quantile regression technique
• Determinants of Euro-area bank CDS spreads
• Do credit default swaps mitigate the impact of credit rating downgrades?
• Modeling corporate CDS spreads using Markov switching regressions
• Common factors in credit defaults swap markets

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