What Drives the Cross-Section of Credit Spreads?: A Variance Decomposition Approach
نویسندگان
چکیده
منابع مشابه
The Cross-Section of Credit, Variance, and Skew Risk∗
This paper finds a strong relation between corporate credit default swap (CDS) information and higher moments of equity returns, as predicted by structural models. We use CDS spreads to measure the level of credit risk and to estimate credit market-implied risk premia. The results document that implied volatilities of equity options as well as ex-ante variance and skewness increase with CDS spr...
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We use matched, bank-level panel data on Libor submissions and credit default swaps to decompose bank-funding spreads at several maturities into components reflecting counterparty credit risk and funding-market liquidity. To account for the possibility that banks may strategically misreport their funding rates in the Libor survey, we nest our decomposition within a model of the costs and benefi...
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0378-4266/$ see front matter 2013 Elsevier B.V. All rights reserved. http://dx.doi.org/10.1016/j.jbankfin.2013.02.021 q We would like to thank Turan Bali, Antje Berndt, Michael Brennan, Darrell Duffie, Robert Geske, Bing Han, Jean Helwege, Robert Jarrow, George Jiang, George Tauchen, Marliese Uhrig-Homburg, Jan Werner, Yelena Larkin, Liuren Wu, Yuhang Xing, and Hong Yan; seminar participants at...
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The term structure of credit default swap (CDS) spreads contains useful information about the firm’s fundamentals. Companies with a high CDS slope tend to experience increases in default risk, negative earning surprises and lower profitability in the future. Such information gets incorporated only gradually into stock prices. Firms in the lowest decile of CDS slope outperform the highest decile...
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ژورنال
عنوان ژورنال: The Journal of Finance
سال: 2017
ISSN: 0022-1082
DOI: 10.1111/jofi.12524