English, Article edition: THE DETERMINANTS OF CREDIT DEFAULT SWAP RATES: AN EXPLANATORY STUDY FATHI ABID; NADER NAIFAR

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Bookmark: http://trove.nla.gov.au/version/83109
Physical Description
  • article
Language
  • English

Edition details

Title
  • THE DETERMINANTS OF CREDIT DEFAULT SWAP RATES: AN EXPLANATORY STUDY
Author
  • FATHI ABID
  • NADER NAIFAR
Physical Description
  • article
Notes
  • The aim of this paper is to explain empirically the determinants of credit default swap rates using a linear regression. We document that the majority of variables, detected from the credit risk pricing theories, explain more than 60% of the total level of credit default swap. These theoretical variables are credit rating, maturity, riskless interest rate, slope of the yield curve and volatility of equities. The estimated coefficients for the majority of these variables are consistent with theory and they are significant both statistically and economically. We conclude that credit rating is the most determinant of credit default swap rates.
  • Credit derivatives, credit risk, rating, market variables
  • RePEc:wsi:ijtafx:v:09:y:2006:i:01:p:23-42
Language
  • English
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