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The Influence of Country Political Risk on Corporate Credit Default Swaps

Student: Patrusheva Irina

Supervisor: Svetlana Seregina

Faculty: Faculty of Economic Sciences

Educational Programme: Applied Economics (Master)

Year of Graduation: 2018

This paper examines the impact of the country's political risk, in which the firm exports its products to the corporate CDS spreads. The study identified the main determinants of corporate CDS spreads, and introduced a new indicator that can be used to assess its value. As a measure of political risk, the International Country Risk Guide was taken. For the analysis, 70 American companies from the non-financial sector were selected. They were divided into two groups: firms with a high share of export to the countries with high and low political risk. As a result of the research, it was obtained that, along with the political risk of the United States, the risk of the country with which the firm conducts trade relations should also be taken into account in the CDS cost model.

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