Determinants of corporate CDS spreads in the Eurozone - Is there a spillover effect from sovereign to corporate credit risk?
(2014) BUSN88 20141Department of Business Administration
- Abstract
- We study the determinants of corporate CDS spreads for 125 companies headquartered
in the Eurozone, with an emphasis on sovereign CDS spreads as a main determinant of
corporate CDS spreads in levels and changes. This is done by analyzing financial
companies, as well as non-financial companies. The period of analysis is from January
2004 to April 2014, which has been divided into 3 sub-periods; before, during, and after
the global financial crisis. We found evidence of a spillover effect in credit risk from
private-to-public during the global financial crisis, and public-to-private after the crisis,
mainly with the onset of the European sovereign debt crisis. The effect of sovereign-tocorporate
credit risk spillover is more... (More) - We study the determinants of corporate CDS spreads for 125 companies headquartered
in the Eurozone, with an emphasis on sovereign CDS spreads as a main determinant of
corporate CDS spreads in levels and changes. This is done by analyzing financial
companies, as well as non-financial companies. The period of analysis is from January
2004 to April 2014, which has been divided into 3 sub-periods; before, during, and after
the global financial crisis. We found evidence of a spillover effect in credit risk from
private-to-public during the global financial crisis, and public-to-private after the crisis,
mainly with the onset of the European sovereign debt crisis. The effect of sovereign-tocorporate
credit risk spillover is more pronounced for companies headquartered in
GIIPS countries and non-financial companies, especially after the global financial crisis. (Less)
Please use this url to cite or link to this publication:
http://lup.lub.lu.se/student-papers/record/4530482
- author
- Kromer, Ronald LU and Vllasalija, Etrit
- supervisor
- organization
- course
- BUSN88 20141
- year
- 2014
- type
- H1 - Master's Degree (One Year)
- subject
- keywords
- CDS determinants, spillover effect, corporate credit risk, sovereign credit risk, credit default swaps, Eurozone
- language
- English
- id
- 4530482
- date added to LUP
- 2014-08-05 11:24:01
- date last changed
- 2014-08-05 11:24:01
@misc{4530482, abstract = {{We study the determinants of corporate CDS spreads for 125 companies headquartered in the Eurozone, with an emphasis on sovereign CDS spreads as a main determinant of corporate CDS spreads in levels and changes. This is done by analyzing financial companies, as well as non-financial companies. The period of analysis is from January 2004 to April 2014, which has been divided into 3 sub-periods; before, during, and after the global financial crisis. We found evidence of a spillover effect in credit risk from private-to-public during the global financial crisis, and public-to-private after the crisis, mainly with the onset of the European sovereign debt crisis. The effect of sovereign-tocorporate credit risk spillover is more pronounced for companies headquartered in GIIPS countries and non-financial companies, especially after the global financial crisis.}}, author = {{Kromer, Ronald and Vllasalija, Etrit}}, language = {{eng}}, note = {{Student Paper}}, title = {{Determinants of corporate CDS spreads in the Eurozone - Is there a spillover effect from sovereign to corporate credit risk?}}, year = {{2014}}, }