DETERMINANTS OF CREDIT DEFAULT SWAP SPREADS: A REGIME-SHIFTING APPROACH
This thesis investigates the theoretical determinants of the credit default swap spread by employing a regime-shifting approach. The variables that are examined are leverage, stock return, volatility and interest rate. A sample of 47 companies was selected with daily mid-market quotes between Jan 2008-Dec 2010 in order to proxy the CDS spread. The research was conducted with the use of a linear re
