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This study investigated any possible financial attributes of the CDS spreads of a firm belonging to financial industries headquartered in the Republic of Korea. There were few studies on this issue, especially for the firms located in emerging capital markets. Coupled with the models such as a multiple regression and a principal component analysis(PCA), this research has identified that only two explanatory variables such as SLOPE and INTER3 (i.e. interaction effect between the BETA and the SLOPE) consistently showed their statistically significant influence on the CDS spreads through the `selected` model without and with applying a stepwise regression procedure for the robustness. Given the rapid developments of sophisticated financial derivatives, this study may suggest a valuable insight to foreign and domestic investors to identify the possible determinants of CDS spreads at the firm- and/or the industry-level.

Financial Determinants of Credit Default Swap Spreads for Financial Institutions Headquartered in the Republic of Korea