The Determinants of Credit Default Swap Premia
检验了理论上决定信用违约互换价差的变量，发现波动率和杠杆率有很强的解释力，且残差中几乎没有共同因子，说明理论变量能解释大部分数据变化。
Abstract Variables that in theory determine credit spreads have limited explanatory power in existing empirical work on corporate bond data. We investigate the linear relationship between theoretical determinants of default risk and default swap spreads. We find that estimated coefficients for a minimal set of theoretical determinants of default risk are consistent with theory and are significant statistically and economically. Volatility and leverage have substantial explanatory power in univariate and multivariate regressions. A principal component analysis of residuals and spreads indicates limited evidence for a residual common factor, confirming that the theoretical variables explain a significant amount of the variation in the data.