The Empirical Determinants of Credit Default Swap Spreads: a Quantile Regression Approach
使用分位数回归研究信用违约互换价差的决定因素，发现高流动性成本（买卖价差）显著影响价差，且高风险公司对解释变量变化更敏感。
Abstract We study the empirical determinants of Credit Default Swap (CDS) spreads through quantile regressions. In addition to traditional variables, such as implied volatility, put skew, historical stock return, leverage, profitability, and ratings, the results indicate that CDS premiums are strongly determined by CDS illiquidity costs, measured by absolute bid‐ask spreads. The quantile regression approach reveals that high‐risk firms are more sensitive to changes in the explanatory variables that low‐risk firms. Furthermore, the goodness‐of‐fit of the model increases with CDS premiums, which is consistent with the credit spread puzzle.