La relación entre el COVID-19 y el riesgo de créditoEl estudio de caso de las compañías del EuroStoxx 50
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1
Universidad Pablo de Olavide
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Universidad de Sevilla
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ISSN: 1886-516X
Year of publication: 2023
Volume: 36
Type: Article
More publications in: Revista de métodos cuantitativos para la economía y la empresa
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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