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Credit default swap spreads can be used as an indicator of thepotential situation in a firm or economy. The instruments forcredit risk management become popular among investors andtogether with a boom of financial innovation, a credit defaultswap index contract was introduced in June 2004. Since creditdefault swap spreads represent an indicator of credit risk, theinvestors and other market participants are interested infactors that can affect credit default swap spread. The aim ofthis paper is to examine the influence of selected determinantsof contracts included in iTraxx Europe Senior Financials indexon credit default swap spreads using monthly changes. Tocapture the changing role of the selected determinants, a panelregression is employed in the crisis and the postcrisisperiods. The results confirm the findings of previous researchand show that the theoretical relationships hold in cases whenobserved determinants are statistically significant.Furthermore we proved that the determinants are dependent onthe prevailing market circumstances.

CDS SPREADS DETERMINANTS OF CONTRACTS INCLUDED IN MARKIT ITRAXX EUROPE SENIOR FINANCIALS INDEX