The Determinants of Credit Default Swap Premia

被引：311

作者：

Ericsson, Jan ^{[1
]}

Jacobs, Kris ^{[1
]}

Oviedo, Rodolfo ^{[2
]}

机构：

[1] McGill Univ, Desautels Fac Management, Montreal, PQ H3A 1G5, Canada

[2] Univ Austral, Fac Ciencias Empresariales, Rosario, Santa Fe, Argentina

来源：

JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS | 2009年 / 44卷 / 01期

关键词：

YIELD SPREADS; CAPITAL STRUCTURE; CORPORATE; RISK; DEBT; BANKRUPTCY; OPTIONS; MODELS;

D O I：

10.1017/S0022109009090061

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Variables that in theory determine credit spreads have limited explanatory power in existing empirical work on corporate bond data. We investigate the linear relationship between theoretical determinants of default risk and default swap spreads. We find that estimated coefficients for a minimal set of theoretical determinants of default risk are consistent with theory and are significant statistically and economically. Volatility and leverage have substantial explanatory power in univariate and multivariate regressions. A principal component analysis of residuals and spreads indicates limited evidence for it residual common factor, confirming that the theoretical variables explain a significant amount of the variation in the data.

引用

页码：109 / 132

页数：24

共 36 条

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