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Einflussfaktoren von CDS-Spreads als Maß für das aktuelle Bonitätsrisiko: Liefert das Rating eine Erklärung?

  • Blumenstock, Hendrik
  • von Grone, Udo
  • Mehlhorn, Marc
  • Merkl, Johannes
  • Pietz, Marcus
Registered author(s):

    Die vorliegende Arbeit untersucht, welche Faktoren einen Einfluss auf die Beurteilung der Zahlungsfähigkeit eines Unternehmens haben. Dazu werden zwei empirische Untersuchungen durchgeführt. Zunächst wird geklärt, welche makroökonomischen Faktoren und unternehmensspezifischen Kennzahlen einen expliziten Einfluss auf die Beurteilung der Zahlungsfähigkeit von Unternehmen haben. Als Indikator für die Bonität eines Unternehmens werden fünfjährige Credit-Default-Swap-Spreads (CDS-Spreads) herangezogen. Es kann gezeigt werden, dass ausgewählte makroökonomische Variablen einen stärkeren Einfluss auf die Preisbildung am CDS-Markt besitzen als Ratings und unternehmensspezifische Kennzahlen. Diejenigen Faktoren, die in der Panel-Studie als signifikant identifiziert werden und täglich messbar sind, werden in einer zweiten Untersuchung auf Wechselwirkungen mit den CDS-Spreads analysiert. Diese Untersuchung gelangt zum Resultat, dass bei kurzfristiger Betrachtung nicht die in der Panel-Analyse als signifikant identifizierten erklärenden Faktoren, sondern die Eigendynamik des CDS-Marktes selbst die größten Auswirkungen auf die Bildung der Marktpreise hat.

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    Paper provided by University of Bayreuth, Chair of Finance and Banking in its series Bayreuth Working Papers on Finance, Accounting and Taxation (FAcT-Papers) with number 2012-03.

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    Date of creation: 2012
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    Handle: RePEc:zbw:bayfat:201203
    Contact details of provider: Postal: Universitätsstraße 30, 95440 Bayreuth
    Web page: http://www.fiba.uni-bayreuth.de/de/index.html

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