COVID-19与信用风险之间的关系:以欧洲斯托克50指数公司为例

Q4 Economics, Econometrics and Finance Revista de Metodos Cuantitativos para la Economia y la Empresa Pub Date : 2023-10-30 DOI:10.46661/rev.metodoscuant.econ.empresa.7301

Cecilia Téllez Valle, Margarita Martín García, Filippo Di Pietro, José Luis Martín Marín

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引用次数: 0

摘要

本文探讨了新冠肺炎疫情对欧洲大型企业信用风险的影响。我们选择了属于欧洲斯托克50指数的公司，这些公司的CDS(信用违约互换)可以在iTraxx欧洲指数中找到。然后，我们将事件研究的方法应用于我们的公司数据库，选择世界卫生组织宣布大流行的那一天作为事件。结果表明，CAR(累积异常违约)的显著性水平表明，对公司信用风险的影响是重要的，这取决于公司所处的行业，通过CDS利差的变化来衡量。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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relationship between COVID-19 and the credit risk: a case study for EuroStoxx 50 companies

In this paper, we explore the impact of the COVID-19 pandemic on the credit risk of large European companies. We selected corporations belonged to the EuroStoxx 50 Index and whose CDS (Credit Default Swap) may be found in the iTraxx Europe Index. Then we applied the methodology of event studies to our database of companies, chosen as the event, the day of the declaration of pandemic by the WHO. The results indicate that the significance levels of the CAR (Cummulative Abnormal Default) show that the impact on the credit risk of the companies, as measured by the change in the spread of CDS, is important and depending on the sector in which the corporation is included.

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来源期刊

Revista de Metodos Cuantitativos para la Economia y la Empresa Economics, Econometrics and Finance-Economics, Econometrics and Finance (all)

CiteScore

0.80

自引率

0.00%

发文量

审稿时长

15 weeks

期刊介绍： The Journal of Quantitative Methods for Economics and Business Administration wants to be a useful mean of communication for all those who research on mathematical, statistical or econometrical techniques and their possible applications in the world of business and economy. It is edited by a group of professors in the Department of Economics, Quantitative Methods and Economic History Department at Pablo de Olavide University in Seville ( Spain ).