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The determinants of CDS spreads: Evidence from the model space

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  • Pelster, Matthias
  • Vilsmeier, Johannes

Abstract

We apply Bayesian Model Averaging and a frequentistic model space analysis to assess the pricing-determinants of credit default swaps (CDS). Our study focuses on the complete model space of plausible models covering most of the variables and specifications used elsewhere in the literature, including different copula models. The approach followed supports ultimate transparency and robustness for the empirical study at hand. Using a large data-set of CDS contracts we find that CDS price dynamics can be mainly explained by factors describing firms' sensitivity to extreme market movements. More precisely, our results suggest that dynamic copula based measures of tail dependence incorporate almost all essential pricing information making other potential determinants such as Merton-type factors or variables measuring the systematic market evolution - based on simple means or principal component analysis - negligible.

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  • Pelster, Matthias & Vilsmeier, Johannes, 2016. "The determinants of CDS spreads: Evidence from the model space," Discussion Papers 43/2016, Deutsche Bundesbank.
  • Handle: RePEc:zbw:bubdps:432016
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    More about this item

    Keywords

    CDS; bayesian model averaging; crash aversion; tail risk; tail dependence; time-varying copulas;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
    • G01 - Financial Economics - - General - - - Financial Crises

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