دانلود رایگان ترجمه مقاله عوامل گسترش تبادل پیش فرض اعتباری تعیین شده موسسات مالی انگلستان – الزویر ۲۰۱۵
دانلود رایگان مقاله انگلیسی CDS تعیین شده چه چیزی به شرکت های مالی انگلستان میدهد ؟ به همراه ترجمه فارسی
|عنوان فارسی مقاله:||CDS تعیین شده چه چیزی به شرکت های مالی انگلستان میدهد ؟|
|عنوان انگلیسی مقاله:||What determined CDS spreads of the UK financial institutions?|
|رشته های مرتبط:||مدیریت و اقتصاد، مدیریت مالی، اقتصاد مالی|
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|نشریه||الزویر – Elsevier|
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Credit default swap spreads are often understood as a leading indicator of development of creditworthiness, and therefore it can point out the potential situation in a company or economy. Since these spreads are such a useful indicator, market participants should pay attention to the factors which can have the impact on these spreads. The aim of this contribution is to analyze the influence of selected firm specific and market factors on credit default swap spreads of the UK financial institutions. To capture the changing role of the selected company specific and market factors, the panel data regression with fixed effects is employed in the pre-crisis, crisis and post crisis period. The participants in the financial market or policy makers can benefit from these findings and take them into consideration within their decision.
The credit default swap (CDS) spreads are useful indicators which are often sought out by market participants for evaluation of company’s creditworthiness. The aim of this contribution is to analyze the influence of selected firm specific and market factors on CDS spreads of the UK financial institutions. To capture the changing role of the selected company specific and market factors during time, the panel regression with fixed effects is employed in the pre-crisis, crisis and post crisis period. The contribution is organized as follows: Data are introduced in a section 2, the model is presented in a section 3, a section 4 is devoted to the results, and a last section concludes the contribution.
Data for research were obtained from Bloomberg database on monthly basis. CDS world monitor included 19 CDSs on senior debt of the UK financial entities. All available CDS contracts are of investment grade. The number of observations differs for each CDS depending on date when it was issued. Table 1 presents all included reference entities which debt was underlying for a CDS contract together with ratingIn our research, we included several explanatory variables of same frequency as CDS spreads. The company specific factors are based primarily on the paper by Merton (1974) – leverage, liquidity and equity volatility. Except company specific determinants, market factors are included in our research as well since they are considered to have significant influence – market volatility and return (on the UK and European level), risk-free rate and slope of term structure. The overview of determinants, indicators and expected relationship between an expected change in the determinant and a change in CDS spread is presented in Table 2.Following Annaert et al. (2013), Avramov et al. (2007) or Christie (1982), we use stock return as a proxy for company leverage. If stock returns are positive (negative), leverage will decrease (increase), leading to lower (higher) credit spreads or vice versa. Asset volatility for each stock is obtained from Bloomberg database as historical 30-day volatility. Based on general knowledge, high asset volatility should reflect in higher credit spreads since it increases the probability of default. Inspired by Zhu (2006), Fabozzi et al. (2007), Tang and Yan (2010), Bedendo et al. (2011) or Coro et al. (2013), we consider bid-ask spread of individual CDS prices as a measure of liquidity. The positive relationship is expected between changes in liquidity and in the following changes in CDS spreads, since lower bid-ask spread shows on the higher liquidity that should result in the lower probability of default.