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La relación entre el COVID-19 y el riesgo de crédito: El estudio de caso de las compañías del EuroStoxx 50
[The relationship between COVID-19 and the credit risk: a case study for EuroStoxx 50 companies]

Author

Listed:
  • Cecilia Tellez Valle

    (Pablo de Olavide University (Spain))

  • Margarita Martín García

    (Carvajal Tecnología y Servicios (Colombia))

  • Filippo di Pietro

    (University of Sevilla (Spain))

  • José Luis Martín Marín

    (Pablo de Olavide University (Spain))

Abstract

En este artículo se explora el impacto de la pandemia del COVID-19 en el riesgo de crédito de grandes compañías europeas. Se seleccionan las empresas incluidas en el índice EuroStoxx50 y aquellas cuyos CDS (derivado sobre incumplimiento de crédito) cotizan dentro del índice iTraxx Europe. A continuación, se aplica la metodología de estudio de eventos a las compañías de la muestra, eligiendo como evento de estudio el día de la declaración, por la OMS, del a pandemia, con una ventana de estimación de 120 días de negociación de mercado y una ventana de evento de +/- 10 días. Los resultados de CAR (rentabilidades anormales acumuladas) indican que el impacto en el riesgo de crédito de las compañías, medido por variaciones en las primas de los CDS es importante, y depende del sector al que pertenece la empresa.

Suggested Citation

  • Cecilia Tellez Valle & Margarita Martín García & Filippo di Pietro & José Luis Martín Marín, 2023. "La relación entre el COVID-19 y el riesgo de crédito: El estudio de caso de las compañías del EuroStoxx 50 [The relationship between COVID-19 and the credit risk: a case study for EuroStoxx 50 comp," Revista de Métodos Cuantitativos para la Economía y la Empresa = Journal of Quantitative Methods for Economics and Business Administration, Universidad Pablo de Olavide, Department of Quantitative Methods for Economics and Business Administration, vol. 36(1), pages 1-16, December.
    • Handle: RePEc:pab:rmcpee:v:36:y:2023:i:1:p:14-20
    DOI: https://doi.org/10.46661/revmetodoscuanteconempresa.7301
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    More about this item

    Keywords

    Riesgo de crédito; CDS; estudio de eventos; pandemia Covid-19; Credit risk; event studies; Covid-19 pandemic;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
    • G24 - Financial Economics - - Financial Institutions and Services - - - Investment Banking; Venture Capital; Brokerage

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