Graduation Year
2015
Date of Submission
12-2014
Document Type
Campus Only Senior Thesis
Degree Name
Bachelor of Arts
Department
Economics
Second Department
Mathematics
Reader 1
Fan Yu
Reader 2
Mark Huber
Terms of Use & License Information
Rights Information
© 2014 Elan M. Bernstein
Abstract
This paper empirically explores how the introduction of Credit Default Swap (CDS) trading affects firm systematic risk. By treating the introduction as an event study and imploring propensity score matching and difference-in-differences analysis, this research finds that firm exposure to market risk increases after the introduction of CDS instruments, controlling for higher debt levels. These findings change, however, in times of financial crisis when the impact of CDS trading actually reduces systematic risk. These results show that CDS introduction enables a firm to more dramatically change its exposure to systematic risk in comparison to its counterpart to reflect market conditions.
Recommended Citation
Bernstein, Elan M., "The Impact of Credit Default Swap Introduction on Firm Systematic Risk" (2015). CMC Senior Theses. 1063.
https://scholarship.claremont.edu/cmc_theses/1063
This thesis is restricted to the Claremont Colleges current faculty, students, and staff.
