We examine a comprehensive set of systematic and firm‐specific determinants of the credit default swap (CDS), using a two‐step approach to explore the factor's effect on CDS spread changes. We show that systematic factors are important and account for the most changes in the CDS spreads (with average of 35%), while firm‐specific factors are limited (with of 5% in panel regression) with only 4 out of 28 firm‐specific factors being significant. It implies that the systematic factors are overlooked in the literature, and they can provide many implications for practitioners in CDS pricing and the firm's credit risk management.

中文翻译：

---

企业信用违约掉期系统性因素

我们研究了信用违约掉期 (CDS) 的一套全面的系统性和公司特定的决定因素，使用两步法来探讨该因素对 CDS 利差变化的影响。我们表明，系统性因素很重要，并且对 CDS 利差的变化影响最大（平均为 35%），而公司特定因素则有限（面板回归中为 5%），28 个公司特定因素中只有 4 个因素显着。这意味着系统性因素在文献中被忽视，并且它们可以为 CDS 定价和公司信用风险管理的从业者提供许多启示。