RT Journal Article SR Electronic T1 Credit Default Swap Market Determinants JF The Journal of Fixed Income FD Institutional Investor Journals SP 18 OP 32 DO 10.3905/JFI.2009.18.3.018 VO 18 IS 3 A1 Caitlin Ann Greatrex YR 2008 UL https://pm-research.com/content/18/3/18.abstract AB This article explores the ability of variables suggested by structural models to explain variation in credit default swap (CDS) spread changes. Using monthly changes in CDS spreads for 333 firms from January 2001–March 2006, Greatrex finds that these variables are able to explain 35% of the variation in CDS spread changes. A rating-based CDS index that accounts for overall market conditions is the single best predictor of CDS spread changes. Leverage and volatility, however, are also key determinants, as these two variables can account for approximately half of the explained variation in monthly CDS spread changes.TOPICS: Credit default swaps, information providers/credit ratings, statistical methods, volatility measures