{"id":"https://openalex.org/W22060029","doi":null,"title":"The determinants of credit default swap spreads in the presence of structural breaks and counterparty risk","display_name":"The determinants of credit default swap spreads in the presence of structural breaks and counterparty risk","publication_year":2011,"publication_date":"2011-01-01","ids":{"openalex":"https://openalex.org/W22060029","mag":"22060029"},"language":"en","primary_location":{"id":"pmh:oai:RePEc:cty:dpaper:11/02","doi":null,"is_oa":false,"landing_page_url":"https://openaccess.city.ac.uk/id/eprint/1465/1/The_Determinants_of_Credit_Default_Swap_Spreads_in_the_Presence_of_Structural_Breaks_and_Counterparty_Risk.pdf","pdf_url":"https://openaccess.city.ac.uk/id/eprint/1465/1/The_Determinants_of_Credit_Default_Swap_Spreads_in_the_Presence_of_Structural_Breaks_and_Counterparty_Risk.pdf","source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"preprint"},"parent_works":[],"lineage":["https://openalex.org/W22060029"],"child_works_count":0,"type":"preprint","is_traditional":true,"indexed_in":[],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"https://openaccess.city.ac.uk/id/eprint/1465/1/The_Determinants_of_Credit_Default_Swap_Spreads_in_the_Presence_of_Structural_Breaks_and_Counterparty_Risk.pdf","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5036157997","display_name":"Burcu Kapar","orcid":"https://orcid.org/0000-0002-1557-4723","observed_orcids":["https://orcid.org/0000-0002-1557-4723"]},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Burcu Kapar","raw_affiliation_strings":[],"raw_orcid":"https://orcid.org/0000-0002-1557-4723","affiliations":[]},{"author_position":"last","author":{"id":"https://openalex.org/A5061981137","display_name":"Jos\u00e9 Olmo","orcid":"https://orcid.org/0000-0002-0437-7812","observed_orcids":["https://orcid.org/0000-0002-0437-7812"]},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Jos\u00e9 Olmo","raw_affiliation_strings":[],"raw_orcid":"https://orcid.org/0000-0002-0437-7812","affiliations":[]}],"institutions":[],"countries_distinct_count":0,"institutions_distinct_count":0,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":null,"has_fulltext":true,"cited_by_count":6,"citation_normalized_percentile":null,"cited_by_percentile_year":null,"biblio":{"volume":null,"issue":null,"first_page":null,"last_page":null},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11496","display_name":"Credit Risk and Financial Regulations","score":1.0,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T11496","display_name":"Credit Risk and Financial Regulations","score":1.0,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11653","display_name":"Financial Distress and Bankruptcy Prediction","score":0.0,"subfield":{"id":"https://openalex.org/subfields/1402","display_name":"Accounting"},"field":{"id":"https://openalex.org/fields/14","display_name":"Business, Management and Accounting"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10503","display_name":"Global Financial Crisis and Policies","score":0.0,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/credit-default-swap-spreads","display_name":"credit default swap spreads","score":0.9599999785423279},{"id":"https://openalex.org/keywords/counterparty-risk","display_name":"counterparty risk","score":0.8429999947547913},{"id":"https://openalex.org/keywords/structural-breaks","display_name":"structural breaks","score":0.8989999890327454},{"id":"https://openalex.org/keywords/credit-risk","display_name":"credit risk","score":0.6119999885559082},{"id":"https://openalex.org/keywords/financial-crises","display_name":"financial crisis","score":0.6980000138282776},{"id":"https://openalex.org/keywords/systemic-risk","display_name":"systemic risk","score":0.7390000224113464},{"id":"https://openalex.org/keywords/government-intervention","display_name":"state intervention","score":0.6759999990463257}],"concepts":[{"id":"https://openalex.org/C30589699","wikidata":"https://www.wikidata.org/wiki/Q624028","display_name":"Credit default swap","level":3,"score":0.8288139700889587},{"id":"https://openalex.org/C178350159","wikidata":"https://www.wikidata.org/wiki/Q162714","display_name":"Credit risk","level":2,"score":0.7975164651870728},{"id":"https://openalex.org/C144133560","wikidata":"https://www.wikidata.org/wiki/Q4830453","display_name":"Business","level":0,"score":0.6602187752723694},{"id":"https://openalex.org/C89997419","wikidata":"https://www.wikidata.org/wiki/Q2828882","display_name":"Credit valuation adjustment","level":4,"score":0.6491708159446716},{"id":"https://openalex.org/C73283319","wikidata":"https://www.wikidata.org/wiki/Q1416617","display_name":"Financial system","level":1,"score":0.5848795771598816},{"id":"https://openalex.org/C2778300220","wikidata":"https://www.wikidata.org/wiki/Q114380","display_name":"Financial crisis","level":2,"score":0.5517617464065552},{"id":"https://openalex.org/C90992651","wikidata":"https://www.wikidata.org/wiki/Q933132","display_name":"Credit default swap index","level":5,"score":0.5396535396575928},{"id":"https://openalex.org/C26457952","wikidata":"https://www.wikidata.org/wiki/Q1655033","display_name":"iTraxx","level":5,"score":0.5197612643241882},{"id":"https://openalex.org/C2779312582","wikidata":"https://www.wikidata.org/wiki/Q1783272","display_name":"Counterparty","level":3,"score":0.5093918442726135},{"id":"https://openalex.org/C2777402642","wikidata":"https://www.wikidata.org/wiki/Q2557224","display_name":"Explanatory power","level":2,"score":0.4942066967487335},{"id":"https://openalex.org/C44309892","wikidata":"https://www.wikidata.org/wiki/Q691313","display_name":"Credit derivative","level":3,"score":0.4618389308452606},{"id":"https://openalex.org/C144587487","wikidata":"https://www.wikidata.org/wiki/Q1369234","display_name":"Systemic risk","level":3,"score":0.4565562307834625},{"id":"https://openalex.org/C43071985","wikidata":"https://www.wikidata.org/wiki/Q2906013","display_name":"Financial risk management","level":3,"score":0.4401893615722656},{"id":"https://openalex.org/C32896092","wikidata":"https://www.wikidata.org/wiki/Q189447","display_name":"Risk management","level":2,"score":0.26089632511138916},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.2606067657470703},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.23302167654037476},{"id":"https://openalex.org/C24308983","wikidata":"https://www.wikidata.org/wiki/Q5183781","display_name":"Credit reference","level":3,"score":0.2112809419631958},{"id":"https://openalex.org/C139719470","wikidata":"https://www.wikidata.org/wiki/Q39680","display_name":"Macroeconomics","level":1,"score":0.0},{"id":"https://openalex.org/C111472728","wikidata":"https://www.wikidata.org/wiki/Q9471","display_name":"Epistemology","level":1,"score":0.0},{"id":"https://openalex.org/C138885662","wikidata":"https://www.wikidata.org/wiki/Q5891","display_name":"Philosophy","level":0,"score":0.0}],"mesh":[],"locations_count":4,"locations":[{"id":"pmh:oai:RePEc:cty:dpaper:11/02","doi":null,"is_oa":false,"landing_page_url":"https://openaccess.city.ac.uk/id/eprint/1465/1/The_Determinants_of_Credit_Default_Swap_Spreads_in_the_Presence_of_Structural_Breaks_and_Counterparty_Risk.pdf","pdf_url":"https://openaccess.city.ac.uk/id/eprint/1465/1/The_Determinants_of_Credit_Default_Swap_Spreads_in_the_Presence_of_Structural_Breaks_and_Counterparty_Risk.pdf","source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"preprint"},{"id":"pmh:oai:openaccess.city.ac.uk:1465","doi":null,"is_oa":true,"landing_page_url":"https://openaccess.city.ac.uk/id/eprint/1465/","pdf_url":"https://openaccess.city.ac.uk/id/eprint/1465/1/The_Determinants_of_Credit_Default_Swap_Spreads_in_the_Presence_of_Structural_Breaks_and_Counterparty_Risk.pdf","source":{"id":"https://openalex.org/S4306401940","display_name":"City Research Online (City University London)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I180825142","host_organization_name":"City, University of London","host_organization_lineage":["https://openalex.org/I180825142"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"Monograph"},{"id":"pmh:oai:CiteSeerX.psu:10.1.1.426.3905","doi":null,"is_oa":false,"landing_page_url":"http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.426.3905","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"http://openaccess.city.ac.uk/1465/1/The_Determinants_of_Credit_Default_Swap_Spreads_in_the_Presence_of_Structural_Breaks_and_Counterparty_Risk.pdf","raw_type":"text"},{"id":"mag:22060029","doi":null,"is_oa":false,"landing_page_url":"https://www.city.ac.uk/__data/assets/pdf_file/0004/81931/KaparOlmofinal.pdf","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"RePEc: Research Papers in Economics","raw_type":null}],"best_oa_location":{"id":"pmh:oai:openaccess.city.ac.uk:1465","doi":null,"is_oa":true,"landing_page_url":"https://openaccess.city.ac.uk/id/eprint/1465/","pdf_url":"https://openaccess.city.ac.uk/id/eprint/1465/1/The_Determinants_of_Credit_Default_Swap_Spreads_in_the_Presence_of_Structural_Breaks_and_Counterparty_Risk.pdf","source":{"id":"https://openalex.org/S4306401940","display_name":"City Research Online (City University London)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I180825142","host_organization_name":"City, University of London","host_organization_lineage":["https://openalex.org/I180825142"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"Monograph"},"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"pdf":true,"grobid_xml":true},"content_urls":{"pdf":"https://content.openalex.org/works/W22060029.pdf","grobid_xml":"https://content.openalex.org/works/W22060029.grobid-xml"},"referenced_works_count":25,"referenced_works":["https://openalex.org/W46256351","https://openalex.org/W1595615370","https://openalex.org/W1832337248","https://openalex.org/W1899035920","https://openalex.org/W1972956294","https://openalex.org/W1998529070","https://openalex.org/W2065747393","https://openalex.org/W2094069555","https://openalex.org/W2097794804","https://openalex.org/W2104267426","https://openalex.org/W2140489921","https://openalex.org/W2144380346","https://openalex.org/W2164665082","https://openalex.org/W2169476066","https://openalex.org/W2788667447","https://openalex.org/W3121328583","https://openalex.org/W3122403692","https://openalex.org/W3122906726","https://openalex.org/W3123206484","https://openalex.org/W3123258340","https://openalex.org/W3123699647","https://openalex.org/W3123719656","https://openalex.org/W3123931904","https://openalex.org/W3125196838","https://openalex.org/W3125328842"],"related_works":["https://openalex.org/W2512013755","https://openalex.org/W86955281","https://openalex.org/W2288964301","https://openalex.org/W2894114548","https://openalex.org/W2290136454","https://openalex.org/W2141084403","https://openalex.org/W1911099378","https://openalex.org/W2490782572","https://openalex.org/W2319400465"],"abstract_inverted_index":{"By":[0],"investigating":[1],"the":[2,13,21,30,32,37,48,56,68,72,91,100],"determinants":[3],"of":[4,24,58,71,84,86,99,104],"CDS":[5,39,65],"spreads":[6],"on":[7,55],"European":[8],"contracts":[9,66,75],"before":[10],"and":[11,26,60,102],"after":[12],"recent":[14],"crisis":[15,49],"we":[16],"observe":[17],"significant":[18],"differences":[19],"in":[20,36,82],"explanatory":[22],"power":[23],"market":[25,40],"firm-specific":[27],"variables.":[28],"Before":[29],"crisis,":[31],"underlying":[33],"credit":[34,45,69,97],"risk":[35,57,70,98],"overall":[38],"is":[41],"sufficient":[42],"to":[43,93,95],"explain":[44],"risk.":[46,106],"During":[47],"investors":[50,89],"have":[51],"a":[52],"differing":[53],"view":[54],"financial":[59,74,87],"non-financial":[61,64],"contracts;":[62],"whereas":[63],"reflect":[67],"counterparty,":[73],"do":[76],"not.":[77],"Our":[78],"results":[79],"suggest":[80],"that":[81],"case":[83],"default":[85],"firms,":[88],"expect":[90],"government":[92],"intervene":[94],"alleviate":[96],"counterparty":[101],"fears":[103],"systemic":[105]},"counts_by_year":[{"year":2023,"cited_by_count":1},{"year":2020,"cited_by_count":1},{"year":2018,"cited_by_count":1},{"year":2017,"cited_by_count":1},{"year":2016,"cited_by_count":1},{"year":2015,"cited_by_count":1}],"updated_date":"2026-11-14T11:04:58.165337","created_date":"2016-06-24T00:00:00"}