Common Determinants of Credit Default Swap Premia in the North American Oil and Gas Industry. A Panel BMA Approach

Common Determinants of Credit Default Swap Premia in the North American Oil and Gas Industry. A Panel BMA Approach

This study discovered market determinants of credit default swap (CDS) spreads in the North American oil and gas industry. Due to the limited theoretical background on market sources of CDS price fluctuations, we chose to alleviate model uncertainty and possible misspecification issues using Bayesia...

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Bibliographic Details
Main Authors: Karol Szafranek, Marek Kwas, Grzegorz Szafrański, Zuzanna Wośko
Format: Article
Language:English
Published: MDPI AG 2020-11-01
Series:Energies
Subjects:
credit risk
credit default swaps
Bayesian model averaging
robust determinants
COVID-19
oil and gas sector
Online Access:https://www.mdpi.com/1996-1073/13/23/6327

Internet

https://www.mdpi.com/1996-1073/13/23/6327

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