Trujillo-Ponce, Antonio; Samaniego-Medina, Reyes; … - Departamento de Economía Financiera y Contabilidad, … - 2012
Using a sample of 2,186 credit default swap (CDS) spreads quoted in the European market during the period 2002-2009, this paper empirically analyzes which model – accounting- or market-based – better explains corporate credit risk. We find that there is little difference in the explanatory...