The Impact of the 2020 Crisis on the Predictability of Credit Default Swap Spreads

Student: Sudiko Nikita

Faculty: St.Petersburg School of Economics and Management

Educational Programme: Economics (Bachelor)

Year of Graduation: 2021

This study is devoted to the analysis of the predictability of credit default swaps spreads and the impact on the forecast effectiveness of the 2020 crisis. The main objective of this study is to analyze whether there was a fundamental structural shift in the CDS market after the World Health Organization announced the COVID-19 pandemic in March 2020, which led to a deterioration in the effectiveness of estimating CDS spreads using previously known methods and models. The ADL (p,q,k) model serves as the basic econometric model. However, in addition, a decision support system was built that is able to cope with a certain class of tasks. 7 sectors of the US economy were considered.

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