La relación entre el COVID-19 y el riesgo de créditoEl estudio de caso de las compañías del EuroStoxx 50

  1. Téllez Valle, Cecilia 1
  2. Martín García, Margarita 1
  3. Di Pietro, Filippo 2
  4. Martín Marín, José Luis 1
  1. 1 Universidad Pablo de Olavide
    info

    Universidad Pablo de Olavide

    Sevilla, España

    ROR https://ror.org/02z749649

  2. 2 Universidad de Sevilla
    info

    Universidad de Sevilla

    Sevilla, España

    ROR https://ror.org/03yxnpp24

Journal:
Revista de métodos cuantitativos para la economía y la empresa

ISSN: 1886-516X

Year of publication: 2023

Volume: 36

Type: Article

DOI: 10.46661/REV.METODOSCUANT.ECON.EMPRESA.7301 DIALNET GOOGLE SCHOLAR lock_openOpen access editor

More publications in: Revista de métodos cuantitativos para la economía y la empresa

Sustainable development goals

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.

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