Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/148050 
Erscheinungsjahr: 
2016
Schriftenreihe/Nr.: 
Bundesbank Discussion Paper No. 43/2016
Verlag: 
Deutsche Bundesbank, Frankfurt a. M.
Zusammenfassung: 
We apply Bayesian Model Averaging and a frequentistic model space analysis to assess the pricing-determinants of credit default swaps (CDS). Our study focuses on the complete model space of plausible models covering most of the variables and specifications used elsewhere in the literature, including different copula models. The approach followed supports ultimate transparency and robustness for the empirical study at hand. Using a large data-set of CDS contracts we find that CDS price dynamics can be mainly explained by factors describing firms' sensitivity to extreme market movements. More precisely, our results suggest that dynamic copula based measures of tail dependence incorporate almost all essential pricing information making other potential determinants such as Merton-type factors or variables measuring the systematic market evolution - based on simple means or principal component analysis - negligible.
Schlagwörter: 
CDS
bayesian model averaging
crash aversion
tail risk
tail dependence
time-varying copulas
JEL: 
G12
C11
G01
ISBN: 
978-3-95729-314-5
Dokumentart: 
Working Paper
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