This paper questions the relevance of using only the 5-year maturity CDS spreads to examine the CDS market response to the disclosure of a regulatory stress test results. Since the stress testing exercises are performed on short-term forward-looking stressed scenarios (1 to 3 years), we assume...

The recent literature has extensively used credit default swaps (CDSs), especially as a proxy of default risk and systematically considers the (spreads of the) 5-year CDS maturity, arguing that it is the most liquid segment of the market. Compared to bonds or stocks, CDS is indeed the most...