The Impact of Earnings on the Pricing of Credit Default Swaps
This study evaluates the impact of earnings on credit risk in the Credit Default Swap (CDS) market using levels, changes, and event study analyses. We find that earnings (cash flows, accruals) of reference firms are negatively and significantly correlated with the level of CDS premia, consistent wit...
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| Main Authors: | , , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2009
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/soa_research/802 https://ink.library.smu.edu.sg/context/soa_research/article/1801/viewcontent/SSRN_id949322.pdf |
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| Institution: | Singapore Management University |
| Language: | English |