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

Abstract

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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