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Statements

Subject Item
n2:RIV%2F00216224%3A14560%2F14%3A00077144%21RIV15-MSM-14560___
rdf:type
n16:Vysledek skos:Concept
dcterms:description
Credit default swap spreads can reflect the potential situation, resp. financial health of a company, and also are considered as a measure of credit risk and as a leading indicator of the future development of company's creditworthiness. Investors should pay attention to the factors that can affect credit default swap spreads. The aim of this study is to find out which determinants had the influence on the spreads of credit default swaps issued on the debt of the European financial reference entities. Panel data regression is employed in order to explore the influence of selected determinants in the pre-crisis, crisis and post-crisis period within individual rating groups. The theoretical factors at companies' level and market determinants are taken into consideration. In most of the cases, the results are consistent with theoretical assumptions, but explanatory power of determinants varied across time and rating categories. Credit default swap spreads can reflect the potential situation, resp. financial health of a company, and also are considered as a measure of credit risk and as a leading indicator of the future development of company's creditworthiness. Investors should pay attention to the factors that can affect credit default swap spreads. The aim of this study is to find out which determinants had the influence on the spreads of credit default swaps issued on the debt of the European financial reference entities. Panel data regression is employed in order to explore the influence of selected determinants in the pre-crisis, crisis and post-crisis period within individual rating groups. The theoretical factors at companies' level and market determinants are taken into consideration. In most of the cases, the results are consistent with theoretical assumptions, but explanatory power of determinants varied across time and rating categories.
dcterms:title
CDS Spreads Determinants of the European Financial Institutions CDS Spreads Determinants of the European Financial Institutions
skos:prefLabel
CDS Spreads Determinants of the European Financial Institutions CDS Spreads Determinants of the European Financial Institutions
skos:notation
RIV/00216224:14560/14:00077144!RIV15-MSM-14560___
n3:aktivita
n14:S
n3:aktivity
S
n3:dodaniDat
n17:2015
n3:domaciTvurceVysledku
n6:7325495 n6:3176681
n3:druhVysledku
n12:D
n3:duvernostUdaju
n19:S
n3:entitaPredkladatele
n13:predkladatel
n3:idSjednocenehoVysledku
6354
n3:idVysledku
RIV/00216224:14560/14:00077144
n3:jazykVysledku
n7:eng
n3:klicovaSlova
credit default swap; determinant; panel regression; spread
n3:klicoveSlovo
n4:spread n4:determinant n4:panel%20regression n4:credit%20default%20swap
n3:kontrolniKodProRIV
[43325359CE3B]
n3:mistoKonaniAkce
Lednice
n3:mistoVydani
Brno
n3:nazevZdroje
Proceedings of the 11th International Scientific Conference European Financial Systems 2014
n3:obor
n8:AE
n3:pocetDomacichTvurcuVysledku
2
n3:pocetTvurcuVysledku
2
n3:rokUplatneniVysledku
n17:2014
n3:tvurceVysledku
Šturc, Boris Kajurová, Veronika
n3:typAkce
n20:WRD
n3:wos
000350701500040
n3:zahajeniAkce
2014-01-01+01:00
s:numberOfPages
7
n10:hasPublisher
Masaryk University
n15:isbn
9788021071537
n9:organizacniJednotka
14560