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The Determinants of CDS Spreads During the COVID-19 Pandemic

Flygare, Anton LU and Tingets, Fredrik LU (2022) NEKN01 20221
Department of Economics
Abstract
This paper investigates the determinants of CDS spreads in the US, following the spread of the COVID-19 pandemic in early 2020. The pandemic led to an increased volatility and credit risk, as supply and demand suffered. By introducing measures related to COVID-19 we try to explain changes in CDS spreads in the US during the pandemic. The results show that the magnitude of the pandemic, measured by the number of COVID-19 cases, COVID-19 deaths and stringency index in the US, are linked to CDS spreads. However, we cannot prove all COVID-19 variables caused an increase in CDS spreads in all sectors.
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author
Flygare, Anton LU and Tingets, Fredrik LU
supervisor
organization
course
NEKN01 20221
year
type
H1 - Master's Degree (One Year)
subject
keywords
Credit Default Swap, CDS spreads, Credit Risk, COVID-19
language
English
id
9084178
date added to LUP
2022-10-10 09:22:22
date last changed
2023-01-01 03:46:20
@misc{9084178,
  abstract     = {{This paper investigates the determinants of CDS spreads in the US, following the spread of the COVID-19 pandemic in early 2020. The pandemic led to an increased volatility and credit risk, as supply and demand suffered. By introducing measures related to COVID-19 we try to explain changes in CDS spreads in the US during the pandemic. The results show that the magnitude of the pandemic, measured by the number of COVID-19 cases, COVID-19 deaths and stringency index in the US, are linked to CDS spreads. However, we cannot prove all COVID-19 variables caused an increase in CDS spreads in all sectors.}},
  author       = {{Flygare, Anton and Tingets, Fredrik}},
  language     = {{eng}},
  note         = {{Student Paper}},
  title        = {{The Determinants of CDS Spreads During the COVID-19 Pandemic}},
  year         = {{2022}},
}