The Impact of Credit Default Swap Introduction on Firm Systematic Risk

The Impact of Credit Default Swap Introduction on Firm Systematic Risk

This paper empirically explores how the introduction of Credit Default Swap (CDS) trading affects firm systematic risk. By treating the introduction as an event study and imploring propensity score matching and difference-in-differences analysis, this research finds that firm exposure to market risk...

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Bibliographic Details
Main Author:	Bernstein, Elan M.
Format:	Others
Published:	Scholarship @ Claremont 2015
Subjects:	Credit Default Swap Derivative Systematic Risk Hedge Finance CAPM Finance and Financial Management Portfolio and Security Analysis
Online Access:	http://scholarship.claremont.edu/cmc_theses/1063 http://scholarship.claremont.edu/cgi/viewcontent.cgi?article=2021&context=cmc_theses

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