Corporate credit default swap systematic factors
研究用两步法分析信用违约互换（CDS）价差变化的系统性因素和公司特定因素，发现系统性因素解释了平均35%的价差变化，而公司特定因素仅解释5%，对CDS定价和信用风险管理有启示。
Abstract We examine a comprehensive set of systematic and firm‐specific determinants of the credit default swap (CDS), using a two‐step approach to explore the factor's effect on CDS spread changes. We show that systematic factors are important and account for the most changes in the CDS spreads (with average of 35%), while firm‐specific factors are limited (with of 5% in panel regression) with only 4 out of 28 firm‐specific factors being significant. It implies that the systematic factors are overlooked in the literature, and they can provide many implications for practitioners in CDS pricing and the firm's credit risk management.