Extracting liquidity risk factors for credit default swap spreads

• Main Authors: Hong-Yu Jian, 簡宏宇
• Other Authors: 葉仕國
• Format: Others
• Language: zh-TW
• Published: 2018
• Online Access: http://ndltd.ncl.edu.tw/handle/a69mx9

碩士 === 國立中興大學 === 財務金融學系所 === 106 === In 2008, the financial crisis caused the world economy to dramatic decline, mainly due to financial credit contraction and rising liquidity risks of banks. In addition, it has also been related to the booming of financial derivatives among Credit default Swap in recent years. CDS has increased sharply over the five year. While the previous literature considers that the characteristic of the CDS itself is the payment of the credit spread, so the CDS spread are considered to be less liquidity risks than the corporate debt in relation to corporate bonds. But more and more researches reflect it contains liquidity risks. So we are interested to find out the default factors and liquidity factors reflected in the CDS spreads, respectively, through Maximum Likelihood Estimation with Unscented Kalman Filter finding of default factors and the use of principal component analysis to identify the traditional liquidity factor, and then through the default factor and the traditional liquidity factor to find out the pure liquidity factor that this paper hopes to extract. We want to show the pure liquidity factor is there a higher explanatory power than the traditional liquidity factor. Empirical results show that not put the control variable, the pure liquidity factor has a higher explanatory power to the market interest rate factor than the traditional liquidity factor, but there is no significant difference in its explanatory power. After adding the total control variables, we found that new liquidity factor has better explanatory power in most of model in this study, but except the SLOPE model.