Alternative Determinants of Credit Premia: Altman's Z and the Empirical Components Approach
This paper conducts an empirical study of the determinants of credit default swap (CDS) prices. By using a new set of CDS quotes and explanatory variables for thirty major corporations, a set of linear panel data regressions are performed. The study confirms earlier research where risk free interest rate, volatility and leverage are found to be highly significant. In addition to this, a new variab