Determinants of iTraxx Europe Senior Financials Index Spreads
| Authors | |
|---|---|
| Year of publication | 2014 |
| Type | Article in Proceedings |
| Conference | Proceedings of the 2nd International Conference on European Integration 2014 |
| MU Faculty or unit | |
| Citation | |
| Field | Management and administrative |
| Keywords | credit default swap spread; determinant; iTraxx Europe Financial Senior index |
| Attached files | |
| Description | Credit default swap spreads are considered as a leading indicator of the future development of creditworthiness, which can point out the potential situation in a company or the economy. Therefore the attention should be paid to the factors that can affect credit default swap spreads, which can have an impact on the investors' decisions. The aim of this study is to examine the influence of CDS spread determinants on daily and weekly changes in iTraxx Europe index that includes 25 equally weighted credit default swaps on investment grade European entities. To capture the changing role of the selected determinants, a linear regression is employed in the pre-crisis, financial crisis and post-crisis period. The findings could be beneficial for the participants in the financial markets, as well as for the policy makers both at national and European level. |
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