Breitenfellner, Bastian; Wagner, Niklas - In: International Review of Financial Analysis 22 (2012) C, pp. 18-29
We examine risk factors that explain daily changes in aggregate credit default swap (CDS) spreads before, during and after the 2007–2009 financial crisis. Based on the European iTraxx CDS index universe, we document time-variation in the significance of spread determinants. Before and after...