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2009

Theses & Honors Papers

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Does Supervisory Information Explain Security Market Information? Evidence From The Credit Default Swap Market, Timothy Buckler Apr 2009

Does Supervisory Information Explain Security Market Information? Evidence From The Credit Default Swap Market, Timothy Buckler

Theses & Honors Papers

This paper examines the ability of supervisory information to explain variation in the Credit Default Swap Market. Using data from the fourth quarter of 2004 to the third quarter of 2008, variation in CDS was able to explained well using only Call Report Data. These Call Report data that are proxies for credit risk, leverage risk, and liquidity risk are found to be significant in at least one model. There is evidence of both omitted variables and heteroskedasticity in both models. Further work that controls for the movements in related markets, namely the equities market, and the use of Heteroskedasticity-consistent …