This study proposes models that can be used as shorthand analysis tools for CDS spreads and CDS spread changes. For … this purpose we examine the determinants of CDS spreads and spread changes on a broad database of 718 US firms during the … (change in the median CDS spread in the rating class). We also discover that models used in the event study literature to …

returns and credit spreads. This paper explores such effects in the credit default swap (CDS) market. We use a novel approach … volatility risk alone predicts 50% of CDS spread variation, while jump risk alone forecasts 19%. After controlling for credit …

credit default swaps (CDS) spreads. With swap rate as the risk free rate, the estimated nondefault component is generally …

–2010. We employ information embedded in Credit Default Swap (CDS) contracts to quantify expected excess returns from the …% of total CDS spread (on median). These premia also exhibit a strong source of commonality; a single principal component … corporate risk premia. Finally, the compensation in the event of default is approximately 14 basis points of the total CDS …

The spread risk premium component of credit default swap (CDS) spreads represents a compensation demanded by protection … sellers for future changes in CDS spreads caused by unpredictable fluctuations in the reference entity's risk-neutral default … intensity. This paper defines and estimates a measure of the spread risk premium component in CDS spreads of a sample of …

As observed in the financial crisis, CDS spreads tend to increase simutaneously as a reaction to common shocks … mutual impact on credit spreads are investigated based on CDS spreads of the biggest derivative dealers in the market. By … including factors identified as determinants of CDS spreads to the set of explanatory variables such as equity return and equity …

We show that liquidity risk is priced in the cross section of returns on credit default swaps (CDSs). We measure CDS … constituents' CDS spreads, and we construct a tradable liquidity factor from returns on index arbitrage strategies. CDS contracts … CDS spreads; on average, liquidity risk accounts for 24% of CDS spreads. Consistent with recent models of intermediary …