Regime-Switching Determinants for Spreads of Emerging Markets Sovereign Credit Default Swaps

Regime-Switching Determinants for Spreads of Emerging Markets Sovereign Credit Default Swaps

Using the Markov regime switching approach, we investigate the dependency of short term sovereign credit default swap (SCDS) spread changes on a nation’s country-specific fundamental factors, local, regional and macroeconomic global factors. We find that the significance of the determinant...

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Bibliographic Details
Main Authors: Jason Z. Ma, Xiang Deng, Kung-Cheng Ho, Sang-Bing Tsai
Format: Article
Language:English
Published: MDPI AG 2018-08-01
Series:Sustainability
Subjects:
sovereign credit default swap (SCDS)
emerging market
markov regime switching
credit risk
risk assessment
risk measures
Online Access:http://www.mdpi.com/2071-1050/10/8/2730

Internet

http://www.mdpi.com/2071-1050/10/8/2730

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