Common factors in credit defaults swap markets

Cathy Chen () and Wolfgang Härdle

Computational Statistics, 2015, vol. 30, issue 3, 845-863

Abstract: We examine what are the common factors that determine systematic credit risk, and estimate and interpret these factors. We also compare the contributions of common factors in explaining the changes of credit default swap spreads during the pre-crisis, the crisis and the post-crisis period; there is evidence to suggest that the eigenstructures across these three sub-periods are distinct. Furthermore, we examine whether the observable economic variables are in fact the underlying latent factors and analyze the predictability in the factors that capture the time-variation of credit default swap spreads. Copyright Springer-Verlag Berlin Heidelberg 2015

Keywords: Credit default swaps; Common factors; Credit risk; Factor model (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7)

Downloads: (external link)
http://hdl.handle.net/10.1007/s00180-015-0578-6 (text/html)
Access to full text is restricted to subscribers.

Related works:
Working Paper: Common factors in credit defaults swaps markets (2012)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:compst:v:30:y:2015:i:3:p:845-863

Ordering information: This journal article can be ordered from
http://www.springer.com/statistics/journal/180/PS2

DOI: 10.1007/s00180-015-0578-6

Access Statistics for this article

Computational Statistics is currently edited by Wataru Sakamoto, Ricardo Cao and Jürgen Symanzik

More articles in Computational Statistics from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().