The Determinants of CDS Spreads During the COVID-19 Pandemic
(2022) NEKN01 20221Department 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.
Please use this url to cite or link to this publication:
http://lup.lub.lu.se/student-papers/record/9084178
- author
- Flygare, Anton LU and Tingets, Fredrik LU
- supervisor
- organization
- course
- NEKN01 20221
- year
- 2022
- 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}}, }