La relación entre el COVID-19 y el riesgo de crédito. El estudio de caso de las compañías del EuroStoxx 50
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2023-12-20
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Universidad Pablo de Olavide
Abstract
En este artículo se explora el impacto de la pandemia del COVID-19 en el riesgo de crédito de grandes compañías europeas. Se seleccionan las empresas incluidas en el índice EuroStoxx50 y aquellas cuyos CDS (derivado sobre incumplimiento de crédito) cotizan dentro del índice iTraxx Europe. A continuación, se aplica la metodología de estudio de eventos a las compañías de la muestra, eligiendo como evento de estudio el día de la declaración, por la OMS, del a pandemia, con una ventana de estimación de 120 días de negociación de mercado y una ventana de evento de +/- 10 días. Los resultados de CAR (rentabilidades anormales acumuladas) indican que el impacto en el riesgo de crédito de las compañías, medido por variaciones en las primas de los CDS es importante, y depende del sector al que pertenece la empresa.
In this paper, we explore the impact of the COVID-19 pandemic on the credit risk of large European companies. We selected corporations belonged to the EuroStoxx 50 Index and whose CDS (Credit Default Swap) may be found in the iTraxx Europe Index. Then we applied the methodology of event studies to our database of companies, chosen as the event, the day of the declaration of pandemic by the WHO. The results indicate that the significance levels of the CAR (Cummulative Abnormal Default) show that the impact on the credit risk of the companies, as measured by the change in the spread of CDS, is important and depending on the sector in which the corporation is included.
In this paper, we explore the impact of the COVID-19 pandemic on the credit risk of large European companies. We selected corporations belonged to the EuroStoxx 50 Index and whose CDS (Credit Default Swap) may be found in the iTraxx Europe Index. Then we applied the methodology of event studies to our database of companies, chosen as the event, the day of the declaration of pandemic by the WHO. The results indicate that the significance levels of the CAR (Cummulative Abnormal Default) show that the impact on the credit risk of the companies, as measured by the change in the spread of CDS, is important and depending on the sector in which the corporation is included.
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Revista de métodos cuantitativos para la economía y la empresa, ISSN-e 1886-516X, Vol. 36, 2023