%0 Generic
%A Trujillo-Ponce, Antonio
%A Samaniego Medina, Reyes
%A Cardone Riportella, Clara
%T Examining what best explains corporate credit risk: accounting-based versus market-based models
%J WP BSAD;12.07
%D 2012
%U http://hdl.handle.net/10433/143
%X Using a sample of 2,186 credit default swap (CDS) spreads quoted in the European market during the period2002-2009, this paper empirically analyzes which model ¿ accounting- or market-based ¿ better explainscorporate credit risk. We find that there is little difference in the explanatory power of the two approaches.Our results suggest that both accounting and market data complement one other and thus that acomprehensive model that includes both types of variables appears to be the best option for explaining creditrisk. We also show that the explanatory power of accounting- and market-based variables for measuringcredit risk is particularly strong during periods of high uncertainty, as experienced in the recent financialcrisis, and that it decreases as the CDS contract matures. Finally, the comprehensive model continues to showthe best results when using the credit rating as the proxy for credit risk, but accounting variables currentlyappear to have a more important role than the market variables.
%K Bankruptcy
%K Credit default swaps
%K Credit risk
%K Distance-to-default
%~