La Faculté de Droit, d'Economie et de Finance de l'Université du Luxembourg invite le professeur Ghulam Sorwar, de l'Université de Nottingham, à tenir un séminaire de midi consacré aux écarts de rendement des swaps de défaut pendant la crise de la zone euro, qui aura lieu le 11 avril de 13 à 14 heures.

Behaviour of the CDS spreads during the Eurozone crisis

This paper examines the determinants of 2990 quarterly CDS spreads in the Eurozone area during the recent crisis, across all industrial sectors excluding the Banking sector. Our initial analysis shows a significant increase in CDS spread during the crisis period, which has failed to decline during the post crisis period. Based on the findings of Das et al. (2009), we regress the CDS spread against both accounting and market based variables, as a jointly they provide a better fit to the data. Our analysis reveals that majority of the accounting based variables are not significant in explaining the CDS spread both for the whole study period and the crisis period and that overall market based variables are more significant in explaining the CDS spread. Moreover, we find that during the crisis period, standard assumptions regarding many of the explanatory variables are not valid.

Registrations

Free seminar (with lunch included), registration by email before 8th April 2013 at the address: lsf-events@uni.lu

Information

Martine Zenner Tel.: +352 46 66 44 6335