Exploring the Factors of the Credit Default Swap Spread in Different Business Sectors
In this study, we investigate the effect of market factors on credit default swap spreads aggregated by specific business sectors. The market factors include commodity spot prices, foreign exchange spot prices, equity index prices and interest swap rates. Using linear regression modelling, we find t...
| Main Authors: | , |
|---|---|
| Format: | Others |
| Language: | English |
| Published: |
KTH, Matematisk statistik
2017
|
| Subjects: | |
| Online Access: | http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-210161 |