Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/79599
Authors: 
Chen, Yi-hsuan
Härdle, Wolfgang Karl
Year of Publication: 
2012
Series/Report no.: 
SFB 649 Discussion Paper 2012-063
Abstract: 
We examine what are common factors that determine systematic credit risk and estimate and interpret the common risk factors. We also compare the contributions of common factors in explaining the changes of credit default swap (CDS) spreads during the pre-crisis, crisis and post-crisis period. Based on the testing result from the common principal components model, this study finds that the eigenstructures across the three subperiods are distinct and the determinants of risk factors differ from three subperiods. Furthermore, we analyze the predictive ability of dynamics in CDS indices changes by dynamic factor models.
Subjects: 
credit default swaps
common factors
credit risk
JEL: 
C38
G32
E43
Document Type: 
Working Paper

Files in This Item:
File
Size
676.63 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.