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Determinants of corporate CDS spreads in the Eurozone - Is there a spillover effect from sovereign to corporate credit risk?

Kromer, Ronald LU and Vllasalija, Etrit (2014) BUSN88 20141
Department 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)
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author
Kromer, Ronald LU and Vllasalija, Etrit
supervisor
organization
course
BUSN88 20141
year
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}},
}