An Empirical Study on Credit Default Swap in Taiwan
| Autor: | Ya-Tzu Liao, 廖雅姿 |
|---|---|
| Rok vydání: | 2008 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 96 This paper makes an empirical attempt to investigate the determinants of the credit default swap spreads (CDS spreads) in Taiwan. The CDS spreads transactions data which covers the period from July 1, 2001 to October 31, 2007 is provided by Far Eastern International Bank. Other firm level data are from the dataset of Taiwan Economic Journal (TEJ). Data sample contains 77 individual CDS transactions prices of 27 firms. The study adopts the OLS linear regression model to run against possible explanatory variables (for example, credit rating, leverage, size of reference issue, and so on). The study reveals that credit rating, leverage, volatility of equities, and sizes of reference issue have statistically significant impact on the CDS spreads |
| Databáze: | Networked Digital Library of Theses & Dissertations |
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