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Please use this identifier to cite or link to this item: http://bura.brunel.ac.uk/handle/2438/28562
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dc.contributor.authorChan, KK-
dc.contributor.authorLin, M-T-
dc.contributor.authorLu, Q-
dc.date.accessioned2024-03-18T08:58:13Z-
dc.date.available2024-03-18T08:58:13Z-
dc.date.issued2024-04-16-
dc.identifierORCiD: Ka Kei Chan https://orcid.org/0000-0001-5883-193X-
dc.identifier.citationChan, K.K., Lin, M.-T. and Lu, Q. (2024) 'Corporate Credit Default Swap Systematic Factors', Journal of Futures Markets, 0 (ahead of print), pp. 1 -33.. doi: 10.1002/fut.22505.en_US
dc.identifier.issn0270-7314-
dc.identifier.urihttps://bura.brunel.ac.uk/handle/2438/28562-
dc.descriptionData Availability: All data used is obtained from third-party data providers. Data will be made available on request with the permission of the data providers.en_US
dc.descriptionJEL: G12, G13, G23.-
dc.descriptionSupporting Information is available online at: https://onlinelibrary.wiley.com/doi/10.1002/fut.22505#support-information-section .-
dc.description.abstractWe examine a comprehensive set of systematic and firm-specific determinants of the credit default swap (CDS), using a two-step approach to explore the factor's effect on CDS spread changes. We show that systematic factors are important and account for the most changes in the CDS spreads (with average <i>R</i><sup>2</sup> of 35%), while firm-specific factors are limited (with <i>R</i><sup>2</sup> of 5% in panel regression) with only 4 out of 28 firm-specific factors being significant. It implies that the systematic factors are overlooked in the literature, and they can provide many implications for practitioners in CDS pricing and the firm's credit risk management.en_US
dc.format.extent1 - 33-
dc.format.mediumPrint-Electronic-
dc.language.isoen_USen_US
dc.publisherWileyen_US
dc.relation.urihttps://onlinelibrary.wiley.com/doi/10.1002/fut.22505#support-information-section-
dc.rightsCopyright © 2024 The Authors. The Journal of Futures Markets published by Wiley Periodicals LLC. This is an open access article under the terms of the Creative Commons Attribution License (https://creativecommons.org/licenses/by/4.0/), which permits use, distribution and reproduction in any medium, provided the original work is properly cited.-
dc.rights.urihttps://creativecommons.org/licenses/by/4.0/-
dc.subjectCDS determinantsen_US
dc.subjectCDS firm‐specific factorsen_US
dc.subjectCDS systematic factorsen_US
dc.subjectcredit default swapen_US
dc.subjectcredit risken_US
dc.titleCorporate credit default swap systematic factorsen_US
dc.typeArticleen_US
dc.identifier.doihttps://doi.org/10.1002/fut.22505-
dc.relation.isPartOfJournal of Futures Markets-
pubs.issue00-
pubs.publication-statusPublished online-
pubs.volume0-
dc.identifier.eissn1096-9934-
dc.rights.licensehttps://creativecommons.org/licenses/by/4.0/legalcode.en.-
dc.rights.holderThe Authors-
Appears in Collections:Dept of Economics and Finance Research Papers

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