The relationship between COVID-19 and the credit risk: a case study for EuroStoxx 50 companies
DOI:
https://doi.org/10.46661/rev.metodoscuant.econ.empresa.7301Keywords:
Credit risk, CDS, event studies, Covid-19 pandemicAbstract
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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