Acta academica karviniensia 2015, 15(1):82-93 | DOI: 10.25142/aak.2015.007

Determinanty CDS spreadů kontraktů zahrnutých v indexu Markit iTraxx Europe Senior Financials

Veronika Kajurová

Masaryk University, Faculty of Economics and Administration, Lipová 41a, 602 00 Brno, Email: vkajurova@mail.muni.cz

Credit default swap spreads can be used as an indicator of the potential situation in a firm or economy. The instruments for credit risk management become popular among investors and together with a boom of financial innovation, a credit default swap index contract was introduced in June 2004. Since credit default swap spreads represent an indicator of credit risk, the investors and other market participants are interested in factors that can affect credit default swap spread. The aim of this paper is to examine the influence of selected determinants of contracts included in iTraxx Europe Senior Financials index on credit default swap spreads using monthly changes. To capture the changing role of the selected determinants, a panel regression is employed in the crisis and the post-crisis periods. The results confirm the findings of previous research and show that the theoretical relationships hold in cases when observed determinants are statistically significant. Furthermore we proved that the determinants are dependent on the prevailing market circumstances.

Klíčová slova: CDS index, credit default swap, determinant, iTraxx, panel regression, spread

JEL classification: C23, C58, G01, G15, G20

Vloženo: 24. únor 2015; Přijato: 27. květen 2015; Zveřejněno: 30. březen 2015  Zobrazit citaci