RT Generic
T1 Examining what best explains corporate credit risk: accounting-based versus market-based models
A1 Trujillo-Ponce, Antonio
A1 Samaniego Medina, Reyes
A1 Cardone Riportella, Clara
K1 Bankruptcy
K1 Credit default swaps
K1 Credit risk
K1 Distance-to-default
AB 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.
PB Universidad Pablo de Olavide. Departamento de Economía Financiera y Contabilidad
YR 2012
FD 2012-04
LK http://hdl.handle.net/10433/143
UL http://hdl.handle.net/10433/143
LA en
NO Clasificación JEL: C52; G13; G33; M41
NO Universidad Pablo de Olavide. Departamento de Economía Financiera y Contabilidad
NO Universidad Carlos III. Departamento de Administración de Empresas
DS RIO
RD May 6, 2026