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1
Shan, Chenyu, and 陜晨煜. "Credit default swaps (CDS) and loan financing." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2013. http://hub.hku.hk/bib/B5089965X.
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As evidenced by its market size, credit default swaps (CDSs) has been the cornerstone product of the credit derivatives market. The central question that I attempt to answer in this thesis is: why and how does the introduction of CDS market affect bank loan financing? Theoretical works predict some potential effects from CDS market, but empirical evidence is still rare.
This dissertation empirically examines the effects of CDS trading on bank loan financing. In chapter one, I find that banks increase average loan amount and charge higher loan spread after the onset of CDS trading on the borrower’s debt. Also, credit quality of the borrower deteriorates for those with active CDS trading. These findings suggest that banks tend to take on more credit risk by issuing larger loans and by lending to riskier firms that could not obtain bank loan in the absence of CDS. The risk-taking by banks ultimately transmitted to higher bank-level risk profile.
The second chapter is the first empirical study of CDS’ role in determining loan syndicate structure. I find larger lead bank share when CDS is in place. Moreover, participation of credit derivatives trading by lead banks is much larger than by the participants, suggesting that lead banks have better chance to use CDS to their own advantage. Further analysis shows that lead banks retain an even larger share when it is more experienced dealing with the borrower and when information asymmetry between the lender and the borrower is less severe. Different from conventional wisdom about moral hazard in syndicated lending, our findings suggest that the lead bank likely takes on more credit risk voluntarily due to its increased financing capacity.
The third chapter focuses on the effects of CDS on debt contracting. Given that current evidence does not show CDS reduces average cost of debt, we conjecture that the diversification benefit is reflected by relaxation of restrictions imposed on borrowers. Consistent with our hypothesis, we find the marginal effect from CDS trading on covenant strictness measure is 16.8% on average. One standard deviation increase in the number of outstanding CDS contracts loosens net worth covenants by approximately 8.9%. Using various endogeneity controls, we are able to show the loosening of covenants is due to the reduced level of debtholder-shareholder conflict. Furthermore, the loosening effect is stronger when the expected renegotiation cost is larger, consistent with the view that CDS mitigates contracting friction and improves contracting efficiency.
Overall, this dissertation attempts to provide first empirical evidence on how CDS affects bank loan financing. We focus the analysis on loan issuance, syndicate structure and contracting. The findings suggest that banks lend to riskier borrowers in the presence of CDS. On a positive note, banks tend to impose less restrictive covenants on its borrower, which may mitigate frictions in lending market in terms of ex ante bargaining and ex post renegotiation cost.published_or_final_version
Economics and Finance
Doctoral
Doctor of Philosophy
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Silva, Paulo Miguel Pereira da. "Essays on the informational efficiency of credit default swaps." Doctoral thesis, Universidade de Évora, 2017. http://hdl.handle.net/10174/21092.
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This thesis contributes to the strand of the financial literature on credit derivatives, in particular the credit default swaps (CDS) market. We present four inter-connected studies addressing CDS market efficiency, price discovery, informed trading and the systemic nature of the CDS market. The first study explores a specific channel through which informed traders express their views on the CDS market: mergers and acquisitions (M&A) and divestitures activities. We show that information obtained by major banks while providing these investment services is impounded by CDS rates prior to the operation announcement. The run-up to M&A announcements is characterized by greater predictability of stock returns using past CDS spread data. The second study evaluates the incremental information value of CDS open interest relative to CDS spreads using a large panel database of obligors. We find that open interest helps predict CDS rate changes and stock returns. Positive open interest growth precedes the announcement of negative earnings surprises, consistent with the notion that its predictive ability is linked to the disclosure of material information. The third study measures the impact on CDS market quality of the ban on uncovered sovereign CDS buying imposed by the European Union. Using panel data models and a difference-in-differences analysis, we find that the ban helped stabilize CDS market volatility, but was in general detrimental to overall market quality. Lastly, we investigate the determinants of open interest dynamics to uncover the channels through which CDS may endanger the financial system. Although we find information asymmetry and divergence of opinions on firms’ future performance as relevant drivers of open interest, our results indicate that systematic factors play a much greater influence. The growth of open interest for different obligors co-varies in time and is pro-cyclical. Funding costs and counterparty risk also reduce dealers’ willingness to incur inventory risk; Eficiência dos mercados de Credit Default Swaps
Resumo:
Esta tese investiga o mercado de derivados de crédito, e em particular o mercado de credit default swaps (CDS). São apresentados quatro estudos interligados abordando temáticas relacionadas com a eficiência informacional, a existência de negociação informada no mercado de CDS, e a natureza sistémica daquele mercado. O primeiro estudo analisa a existência de negociação informada no mercado de CDS antes de operações de aquisição, fusões ou venda de ativos relevantes. A nossa análise mostra uma reação dos prémios de CDS antes do anúncio daqueles eventos, sendo em alguns casos mais imediata do que a reação dos mercados acionistas. O segundo estudo avalia o conteúdo informativo das posições em aberto no mercado de CDS utilizando dados em painel de diferentes empresas ao longo do tempo. Os resultados indiciam que as posições em aberto podem ajudar a prever variações futuras dos prémios de CDS e retornos acionistas. Em acréscimo, verifica-se um aumento estatisticamente significativo das posições em aberto antes da divulgação de surpresas negativas nos resultados das empresas. O terceiro estudo mede os efeitos da proibição de posições longas em CDS sobre entidades soberanas pertencentes ao Espaço Único Europeu sem a detenção do ativo subjacente pelo comprador. A análise mostra um efeito negativo da proibição sobre a qualidade do mercado, pese embora se tenha assistido em simultâneo à redução da volatilidade. Por fim, são analisados os determinantes dos montantes associados a posições em aberto, com o intuito de compreender como o mercado de CDS pode influenciar o risco sistémico. Os resultados indicam que a assimetria de informação e a divergência de opiniões dos investidores influenciam aqueles montantes. Todavia, fatores sistemáticos como risco de contraparte, aversão ao risco e risco de re-financiamento parecem ser ainda mais relevantes por via do efeito que exercem no risco do balanço dos intermediários financeiros.
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Lin, Ming-Tsung. "Three studies in hedge funds and credit default swaps." Thesis, University of Manchester, 2015. https://www.research.manchester.ac.uk/portal/en/theses/three-studies-in-hedge-funds-and-credit-default-swaps(b85f19e8-7fb5-4256-b4c6-276af18264a3).html.
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This thesis consists of one hedge fund study and two credit default swap (CDS) studies. The first study investigates the relationship between mega hedge funds (the largest 25% of funds) and two bond yields (U.S. Treasury yield and Baa yield). Using a merged sample of 9,725 hedge funds from 1994 to 2012, I find that hedge fund outflow produced a more significant relationship than inflow, and the dollar outflow of large hedge funds can predict the increase in the bond yields. The association is also more pronounced for large funds with a short notice period prior to redemption. The results suggest that hedge fund flows provide predictive information for the movement of bond yields. The second study investigates the systematic and firm-specific credit and liquidity risks of CDS spreads. Using data on CDS spreads of 356 U.S. firms from 2002 to 2011, I find that systematic credit and liquidity risks are important in cross-sectional prediction of CDS spreads. In addition, the importance of systematic liquidity risk becomes substantial since the financial crisis in 2007. This finding challenges the current Basel III procedures for counterparty credit risk regulations, in which only pure default should be used. In addition, the systematic credit and liquidity factors can be used as a proxy for CDS spreads of firms that do not have traded CDSs. The last study extends Carr and Wu (2010), in which deep out-of-the-money (DOOM) put options and CDSs are associated as they both provide credit insurance for credit protection buyers. Using the Nelson-Siegel (1987) model, I obtain the credit and illiquidity components for DOOMs and CDSs over the period from May 2002 to May 2012. I show that, after controlling the factors that explain the difference between the DOOM and CDS markets, the components converge over time in these two markets. Thus, I can exploit the observed convergence pattern by constructing a simple trading strategy, and this benchmark strategy produces a positive return. I further construct two other strategies based on the component information, and these two refined strategies outperform the benchmark strategy by the Sharpe ratio and Carhart alpha. My three studies contribute to the literature in hedge fund systemic risk and CDS credit and liquidity risks.
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Bravo, Beneitez Rodrigo. "'Naked’ CDS Regulation and its Impact On Price Discovery in the Credit Markets." Scholarship @ Claremont, 2013. http://scholarship.claremont.edu/cmc_theses/636.
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This paper seeks to fill a gap in the literature regarding the consequences of banning ‘naked’ Credit Default Swaps (CDS). In particular, I use the European Union’s Ban on ‘naked” Sovereign CDS as an event study to evaluate the impact that banning such derivative products has on the price discovery process in the credit markets. Using both Granger Causality tests and a Vector Error Correction Model, I find that before November 1, 2012, CDS are the clear price leader in the credit markets. However, since the official date the regulation was put into effect, CDS’ price leadership was eroded. Moreover, after the ban, CDS and Bond Yield Spreads are no longer cointegrated in the long run, suggesting that different pricing mechanisms now exist between the two securities
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Loshkina, Anna, and Elena Malysheva. "Modeling and monitoring of the price process of Credit Default Swaps." Thesis, Halmstad University, School of Information Science, Computer and Electrical Engineering (IDE), 2008. http://urn.kb.se/resolve?urn=urn:nbn:se:hh:diva-2208.
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Credit derivatives are very popular on financial markets in recent days.
The most liquid credit derivative is a credit default swap (CDS). In
this research we investigate methods for modeling and monitoring of the
price process of CDS. We study Hull and White model to calculate CDS
spread and have data for our analysis. We consider different methods for
monitoring of the price process of CDS. In particular we study CUSUM
method. And we calculate more commonly used perfomance measures
for this method.
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Neves, Ricardo Filipe Godinho Miranda das. "Clearing Credit Default Swaps : an new look into the basis." Master's thesis, Instituto Superior de Economia e Gestão, 2014. http://hdl.handle.net/10400.5/7864.
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Mestrado em Contabilidade, Fiscalidade e Finanças EmpresariaisEste estudo pretende analisar se períodos de turbulência nos mercados financeiros causaram uma quebra de estrutura na relação entre os spreads dos CDS e das Obrigações (Base). Obtivémos evidência que um largo número de quebras de estrutura foi detectado para as empresas incluídas na amostra durante o período da crise da dívida soberana Europeia. Para além disso, o efeito do risco de contra parte na base revelou ter também um maior impacto nas empresas do sector financeiro no período após a quebra de estrutura detectada.
This study aims to analyse whether periods of financial turmoil caused the relation between CDS and corporate bond spreads (CDS-Bond basis) to structurally break. We obtained evidence that a higher number of breaks were detected during the European sovereign debt crisis for the firms included in the sample. Besides, firm specific counterparty risk effect on the basis revealed also to have stronger impact on financial firms in the after-break period.
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Johansson, Martin, and Johanna Nederberg. "Earnings Announcements In The Credit Default Swap Market - An Event Study." Thesis, Uppsala universitet, Företagsekonomiska institutionen, 2014. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-226706.
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This paper investigates the European CDS markets response to earnings announcements between the years 2011-2013. Through the use of event study methodology, we investigate if the CDS market reacts to earnings news in terms of abnormal spread changes. Furthermore, by exploring the pre- and post announcement window the study examines the efficiency of the CDS market. The results imply that earnings announcements provide valuable information to the CDS market, with statistically significant results on the 5 % and 10 % significant level for negative and positive news respectively. Additionally, the paper shows that the market has a rather symmetric reaction to negative and positive earnings news since there is no significant difference in effects. The paper further reveals that there is no significant difference in the response between different credit rating groups. In terms of market efficiency, the study cannot confirm that there is anticipation for earnings announcements. The study further shows that there is no post-earnings announcement drift in the CDS market and that the market, overall, is efficient in incorporating the information into the spreads. Finally, a cross-sectional regression analysis confirms that negative earnings surprises are linked to large announcement day reactions, while positive earnings surprises are not.
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Britse, Oscar, and Johan Jarnmo. "Greenhouse Gas Footprint Minimization of Credit Default Swap Baskets." Thesis, Umeå universitet, Institutionen för matematik och matematisk statistik, 2018. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-149230.
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Global bond market capitalization amounts to approximately $100 trillion, compared to $60 trillion in the equity markets. Despite debt financing being a large part of the global financial market, the measurements and greenhouse gas reduction investment strategies to date are not nearly as thorough as for equity financing. More recently, the problem has been brought into light by the World Bank, expressing concerns about the crucial role of debt financing activities in the current and upcoming threats caused by climate change. A commonly used credit derivative in debt financing is credit default swaps (CDS), which is an agreement between two parties to exchange the credit risk of a reference entity. The buyer of the contract makes fixed periodic payments to the seller of the contract, who collects the premiums in exchange for making the protection buyer whole in the case of a defaulting reference entity. This thesis aims to minimize the greenhouse gas emission exposure for two CDS indices, iTraxx Main and CDX.IG, each consisting of 125 equally weighted constituents, or companies. The CDS indices are widely used high liquid fixed income instruments. In 2017, iTraxx Main had a monthly trading volume of $330-440 billion notional, and CDX.IG a corresponding volume of $200-275 billion. In order to rate the greenhouse gas emissions of the constituents, the ECOBAR model was used. The model utilizes a discrete ranking score system, where the aim is to obtain as low score as possible. To minimize the ECOBAR score for the baskets, Markowitz Modern Portfolio Theory was used, implemented by using a quadratic programming algorithm. By optimizing the portfolios while retaining a low tracking error and high correlation toward the CDS indices, underlying investment properties were retained. We show that one can construct replicated portfolios of the CDS indices that have significantly lower ECOBAR scores than the indices themselves, whilst still maintaining a low tracking error and high correlation with the actual indices. When constructing baskets of fewer constituents, one can replicate the indices with merely 10-30 constituents, without worsening the tracking error or correlation substantially, and obtain an even lower ECOBAR score for the respective portfolios.
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Benbouzid, Nadia. "Credit risk in the banking sector : international evidence on CDS spread determinants before and during the recent crisis." Thesis, Queen Mary, University of London, 2015. http://qmro.qmul.ac.uk/xmlui/handle/123456789/8912.
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Credit Default Swaps (CDS) instruments - as an indicator of credit risk - were one of the most prominent innovations in financial engineering. Very limited literature existed on the drivers of CDS spreads before the financial crisis due to the opacity of this market and its lack of transparency. First, this thesis investigates the drivers of CDS spread in the UK banking sector, by considering the role of the housing market, over the period of 2004-2011. I find that, in the long-run, house price dynamics were the main factor contributing to wider CDS spreads. In addition, I show that a rise in stock prices lead to higher availability of capital and therefore increased bank borrowing activities, which led to lower credit risk. Furthermore, findings show that with higher aggregate bank liquidity, banks tend to grant more loans to low-income consumers, thus increasing bank credit risk. In addition, in the short-run, I employ the Structural VAR by imposing short-run restrictions to identify the five shocks arising from the CDS spread, the house price index, the yield spread, the TED spread, and the FTSE100. The SVAR findings indicate that a positive shock to house prices significantly increases the CDS spread in the medium-term, in the UK banking sector. In addition, apart from its own shock, the house price shock explains a big part of the variance (nearly 20%) in CDS spread. These results remained robust even after changing the ordering of the variables in the Structural VAR. Second, considering the bank-level factors across 30 countries and 115 banks, I find most significant bank-level drivers of the CDS spread were asset quality, liquidity and the operations income ratio. As such, banks with better asset quality, high levels of liquidity and operations income ratio were subject to lower CDS spreads and credit risk. Furthermore, larger banks were found to be more risky than smaller banks. We have conducted the U-test and our results indicate the presence of a U-shape relationship between bank size and bank CDS spread. It should be noted that in order to ensure that our results are robust, we used several estimation frameworks, including the FE, RE and alternative Generalized Method of Moments (GMM) approaches, which all prove the existence of a U-shape relationship between the CDS spread and bank size. In addition, we find a threshold level of bank size, which shows that banks growing beyond this point are subject to wider CDS spreads. Finally, I consider the difference in financial systems at country-level and regulatory structures at bank-level, in a panel setting, over the period of 2004-2011. At country-level, my findings directly link financial deepening to higher credit risk, reflecting a sign of credit bubble. Besides, at bank-level, I confirm my previous findings whereby asset quality, liquidity and operations income remain significant drivers of the CDS spread.
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El, cheikh Samah. "Le rôle des Credit Default Swaps dans les crises de la dette souveraine. Une application au cas de la zone euro." Thesis, Université Côte d'Azur (ComUE), 2019. http://www.theses.fr/2019AZUR0006/document.
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Cette thèse porte sur l'étude des facteurs sous-jacents au risque du défaut souverain, tel que mesuré par les spreads des CDS souverains, au cours de la crise de la dette souveraine en Europe. En analysant les données mensuelles de janvier 2007 à septembre 2015 en utilisant un modèle à correction d'erreur (VECM), nous constatons que le risque de défaut souverain européen répond en partie à un environnement macroéconomique caractérisé par de mauvaises politiques budgétaires et une détérioration des facteurs économiques. Plus précisément, la hausse du taux de chômage, le niveau d'endettement et la réduction des soldes de la balance courante ont accru les spreads des CDS souverains. Ces résultats ne permettent pas de rejeter l’hypothèse selon laquelle le défaut souverain a été motivé par des fondamentaux économiques faibles. Mais l'importance relative de ces facteurs change avec le temps et le groupe de pays. La présence et l'absence de la Grèce ont joué un rôle clé dans l'évolution des spreads dans les pays de la zone euro. La dégradation des notations en Grèce et l'aversion accrue pour le risque de la part des Européens ont contribué à une augmentation significative des spreads de CDS des pays de la zone euro et des autres pays. Notre analyse VECM met en évidence des retombées directes de la Grèce vers la périphérie de la zone euro via des canaux non fondamentaux. Enfin, nos résultats suggèrent que l’émergence de la crise de la dette a été causée par des fondamentaux faibles, mais a également un caractère auto-réalisateurThis thesis attempts to identify the factors behind the sovereign default risk, as measured by sovereign CDS spreads, during the sovereign debt crisis in Europe. By analyzing monthly data from January 2007 to September 2015 using vector error correction model with panel data, we find that European sovereign default risk is partly a response to a macroeconomic environment characterized by poor fiscal policies and deteriorating economic factors. Specifically, higher unemployment rate, debt levels and lower current account balances have increased the sovereign CDS spreads. These results do not allow us to reject the hypothesis that the sovereign default was driven by weak economic fundamentals. But the relative importance of these factors changes over time and group of countries. The presence and absence of Greece have played a key role in the developments of the spreads in the euro area countries. The rating downgrades in Greece and the higher European risk aversion had contributed to a significant rise in the CDS spreads of euro and non-euro area countries. Our VECM analysis does suggest direct spillovers from Greece to Euro area periphery via non-fundamental channels. Finally, our results suggest that the emergence of the debt crisis was caused by weak fundamentals but has also a self-fulfilling character
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Dang, Phuong Nam <1997>. "The Credit Default Swaps – A case for Asian Countries: The relationship between Sovereign CDS and the Stock Indexes." Master's Degree Thesis, Università Ca' Foscari Venezia, 2022. http://hdl.handle.net/10579/21097.
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I investigate the contemporaneous relationship between the Soverign CDS spread and the stock market during the period from 2016 to 2020 of some Asian countries. After the severe economic crisis, the role of the CDSs with respect to the stock market is state dependent, especially the sovereign CDSs play a stronger role in the economic with higher perceived credit risk. By using a Vector Autogressive model and a panel data model, I find the evidence supporting that the sovereign CDS market took over the stock market and led a process. Furthermore, I also divide the analyzed countries into two groups: the countries with higher sovereign CDS spreads and the group of countries with lower sovereign CDS spread - it can be seen that the leadership position of the sovereign CDS markets during 2020 was strengthened by the harsh impacts of the covid-19 pandemic. There is a more modest leading role of CDSs in the countries with lower spread.
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Fontana, Alessandro <1980>. "Essays on credit spreads." Doctoral thesis, Università Ca' Foscari Venezia, 2010. http://hdl.handle.net/10579/1038.
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This thesis consists of three interdependent and original works on the relationship between Credit Default Swaps (CDS) and bond spreads. Chapter 1 studies the behaviour of the CDS-bond basis, i.e. the difference between the CDS and the bond spread, for a sample of investment graded US firms. During the 2007/09 financial crisis it has deviated
from zero and has become persistently negative. The basis dynamics is driven by economic variables that are proxies for funding liquidity, credit markets liquidity and risk in the inter-bank lending market.
Chapter 2 studies the determinants of market prices of Euro area sovereign CDS and the linkages between the CDS and the underlying government bond. Results support the evidence that there are major
commonalities as well as differences between the corporate and sovereign CDS and bonds.
Chapter 3 proposes a methodology for measuring the CDS-bond basis based on the bonds' cash-flows replication argument. A series of tests performed, on an hypothetical bond, shows how the error between this "arbitrage-free" measure and the standard measure of the basis depends on the term structure. An empirical application, on US corporate bonds, shows that the two measures exhibit a common behaviour and since the onset of the
crisis in August 2007 they have become both negative, but the "arbitrage free" basis remains smaller in absolute terms.Questa tesi consiste di tre lavori interdipendenti e originali sulla relatione tra il Credit Default Swap (CDS) e lo spread su obbligazioni. Il capitolo 1 studia il comportamento della “base” CDS vs. bond, i.e. la differenza tra CDS e spread su obbligazioni, per un campione di societá americane. L’analisi condotta mostra che durante la crisi finanziaria del 2007/09 la “base” é diventata persistemente negativa e che essa é determinata da variabili economiche che sono proxy per la liquiditá finanziaria, la liquiditá dei mercati creditizi e il rischio nel mercato interbancario. Il capitolo 2 studia le determinanti dei prezzi di mercato dei CDS degli stati sovrani dell’area euro e i legami tra il CDS e il titolo di stato sottostante. L’analisi empirica mostra come ci siano analogie e differenze tra il comportamento dei CDS e delle obbligazioni su entitá sovrane e societá private. Il capitolo 3 propone una metodologia per misurare la “base” CDS vs. bond basata sulla condizione di non arbitraggio. Una serie di test, implementata su una obbligazione ipotetica, mette in evidenza come l’errore tra questa misura e quella classica, utilizzata in letteratura, dipenda dal comportamento della struttura a termine dei tassi di interesse. Una applicazione empirica, su obbligazioni corporate negli US, mostra che le due misure della “base” hanno generalmente un comportamento simile e che dall’inizio della crisi (agosto 2007) la base é diventata negativa, tuttavia la base “arbitrage free” é minore in termini assoluti.
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Ribeiro, Renata de Andrade Junqueira. "Divulgação de resultados e risco de crédito: o caso Vale." reponame:Repositório Institucional do FGV, 2016. http://hdl.handle.net/10438/17131.
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This paper uses an econometric model and identifies the relation between the perception of mining company Vale S.A.’s credit risk, measured by Credit Default Swap (CDS), and earnings surprises, measured by the difference between reported earnings per share (EPS) and EPS expected by market analysts. Conclusion is that a surprise in earning announcement significantly impacts Vale’s CDS and negative surprises tend to have higher influence than positive ones. Results suggest caution upon announcing future goals, since maintaining market expectations at reasonable levels could prevent sudden increases in funding costs.
Neste trabalho, é utilizado um modelo econométrico reduzido a fim de identificar a relação entre a percepção de risco de crédito da empresa mineradora Vale S.A., medida pelo Credit Default Swap (CDS), e a surpresa na divulgação de resultado, medida pela diferença entre o lucro por ação divulgado e o esperado pelos analistas de mercado. Conclui-se que uma surpresa no anúncio do resultado influencia significativamente o CDS da Vale e as surpresas negativas têm influência maior que as positivas. Os resultados sugerem cautela no anúncio de metas futuras, uma vez que a manutenção das expectativas de mercado em patamares moderados ajuda a evitar aumentos súbitos no custo de captação.
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Qi, Ziqiong. "Credit risk under normal and extreme condition : empirical investigation on European CDS spread changes." Thesis, Rennes 1, 2014. http://www.theses.fr/2014REN1G025/document.
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Cette thèse de doctorat s’articule en trois chapitres. Le premier chapitre s’attache à trouver les déterminants principaux des variations hebdomadaires des marges de CDS, en période normale. Le deuxième chapitre se concentre, quant à lui, sur le comportement des marges de CDS dans les situations extrêmes. Nous exploitons dans ce chapitre les outils couramment employés dans l’analyse du risque systémique (CoVaR et régression quantile). Le troisième et dernier chapitre s’intéresse à l'impact des modifications de notations émises par les agences de rating (sur les marges de CDS). Nous procédons ici à une étude d’événements. Ces trois chapitres, de nature empirique, analysent donc, sous des angles différents. Ils insistent aussi dans leur interprétation sur la dimension sectorielle du marché des CDS. Bien que conçus séparément et indépendamment; les résultats de ces chapitres apparaissent, pour l’essentiel, assez cohérents. Ainsi, dans le premier chapitre, une série d’analyses en composantes principales menées sur les marges de CDS indiquent que le « secteur » constitue un facteur important. Dans le deuxième chapitre, les résultats fournis par la mesure de risque systémique appelée CoVaR suggèrent aussi que les secteurs dirigent le comportement des CDS individuels dans les moments extrêmesThis thesis examines in three empirical essays levels and changes of CDS spread related to largest European companies. In the first chapter, we aim at identifying most important variables that drive CDS spreads in normal market conditions We suggest a list of new microeconomic variables and we find there exist some remaining sector wide common factors. In chapter two, we examine credit risk spillovers of CDS and equity markets under extreme conditions. To this end, we implement among other the very recent CoVaR technology of related entities. We also find here indirect evidences that sectors govern the behavior of individual CDS. In chapter three, we finally undertake a number of event studies on CDS and Equity daily data making use of hand-collected credit rating changes. Among other things, we evidence that both CDS spreads and equity prices move as the rating changes but also that movements differ according to upgrades, downgrades, succession and turnovers
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Anderson, Mike. "Contagion in Credit Default Swap Premiums and Spillover Effects from Bond Liquidity to Stock Returns." The Ohio State University, 2012. http://rave.ohiolink.edu/etdc/view?acc_num=osu1334406908.
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Gomes, Rui Miguel Campos. "O papel dos CDS na (in)estabilidade do mercado financeiro." Master's thesis, Instituto Superior de Economia e Gestão, 2013. http://hdl.handle.net/10400.5/11118.
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Mestrado em FinançasO mercado de credit default swaps (CDS) tem crescido exponencialmente nos últimos tempos até à crise de 2008-2010, tendo encontrado aí um entrave ao seu crescimento. Embora este instrumento seja um dos derivados mais negociados, é transacionado em mercado over-the-counter, o que reflete uma falta de controlo e transparência. A análise efetuada neste estudo é sobre a implementação de mecanismos de mitigação de risco, controlo de contágio e risco de contraparte. Esta análise é efetuada através da análise da base dos CDS tendo em conta a utilização do yield spread das obrigações analisadas. O período em análise decorre entre Março de 2007 e Junho de 2013, período que contempla a crise financeira e a crise de dívida soberana.
The market for credit default swaps (CDS) has grown exponentially in recent times to the crisis of 2008-2010, and found there an obstacle to their growth. Although this instrument is one of the most traded derivative is traded in the over-the-counter, which reflects a lack of control and transparency. The analysis performed in this study is on the implementation of risk mitigation mechanisms, control of contagion and counterparty risk. This analysis is carried out through analysis of the CDS basis taking into account the use of yield spread of bonds analyzed. The review period is between March 2007 and June 2013, a period that includes the financial crisis and the sovereign debt crisis.
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Carvalho, Luís Manuel Lopes. "Default correlation implied from portfolio credit derivatives." Master's thesis, Instituto Superior de Economia e Gestão, 2009. http://hdl.handle.net/10400.5/1652.
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Mestrado em FinançasDespite the absence of good theoretical models to cope with credit portfolio issues, the development of credit derivative markets and the popularity of portfolio credit derivatives have created the need of handling the issue of default correlations in some way. In that context the copula models emerged and became extremely popular within the industry. In recent studies copula models have been criticized for not being flexible enough and for being a static approach. The recent turmoil on the Asset Backed Security market and the failure of Lehman Brothers, Inc brought to discussion the accuracy of these models. Based on data provided by two banks, on default correlation implied from CDO tranche market quotes, we try to draw conclusions about: 1)The credibility of the HLPGC copula model; 2) The power that correlations between single name CDS spreads have to explain those implied by market data, specially during the current. For the empirical study we will use the most popular and liquid portfolio credit derivatives: Collateralized Debt Obligations (CDO based on the iTraxx credit index for 5 years maturity), and implied correlations of CDO tranches written on the same index. The data source will be Bloomberg for single name CDS spreads and Calyon and JP Morgan for implied correlations from a Copula model.
Apesar da inexistência de modelos teóricos robustos para lidar com carteiras de risco de crédito, o desenvolvimento e a popularidade dos mercados de derivados de crédito criaram a necessidade de lidar com a questão das correlações de probabilidades de incumprimento de uma forma simples. Foi neste contexto que surgiram os modelos de cópula associados à indústria do risco de crédito. Estudos recentes criticam os modelos de cópula pela sua falta de flexibilidade e por assumirem uma abordagem estática. A recente crise no mercado de titularizações de hipotecas bem como a falência do Lehman Brothers, Inc reacenderam a discussão sobre a eficácia destes modelos. Com base em informação cedida por dois bancos de investimento sobre correlações implícitas nas cotações de mercado de tranches de CDOs, procurar-se-á concluir acerca da: 1) Credibilidade do modelo de cópula HLPGC; 2) Capacidade que as correlações entre spreads dos CDS individuais têm, na actual crise, para explicar as correlações essas correlações implícitas. Para a análise empírica usamos a carteira mais líquida de derivados de crédito: o índice iTraxx com maturidade de 5 anos e as correlações implícitas para as tranches emitidas sobre esta carteira. As fontes de informação utilizadas são, a Bloomberg para os prémios de risco dos nomes que constituem o iTraxx e JP Morgan e Calyon para correlações implícitas geradas pelos seus modelos de cópula.
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Dias, Tânia Filipa Teodoro. "A crise da dívida soberana portuguesa lida através dos spreads dos CDS da dívida portuguesa e dos CDS da dívida alemã." Master's thesis, Instituto Superior de Economia e Gestão, 2012. http://hdl.handle.net/10400.5/10316.
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Mestrado em FinançasO objetivo deste Trabalho Final de Mestrado consiste em responder à questão: O que é que explica os spreads dos CDS (credit default swaps) da dívida pública portuguesa, naquilo em que esta se distingue da dívida pública alemã? Para tal foram escolhidas diversas variáveis divididas em dois grupos (variáveis representativas da situação conjuntural da economia e variáveis financeiras, relacionadas com o mercado de capitais), três maturidades (1, 5 e 10 anos) e três períodos (agosto de 2005 a fevereiro de 2008, março de 2008 a julho de 2010 e agosto de 2010 a março de 2012). O estudo econométrico desenvolvido permitiu retirar diversas conclusões importantes. A variável spreads dos títulos de dívida pública apresenta significância em quase todas as regressões e um impacto positivo. Os níveis de dívida pública são também uma determinante dos spreads significativo, cujo efeito positivo apresenta mais relevância nos spreads a 1 ano. A taxa de câmbio tem um efeito negativo, com mais relevância nos spreads a 1 e 5 anos. A taxa de crescimento real, com o seu impacto negativo, é mais importante para os períodos total e II, e para os spreads a 1 ano. Os fatores relacionados com o setor externo têm um efeito negativo e são significativos apenas para os spreads a 1 ano, e o PIB per capita aumenta o risco de incumprimento para os spreads a 5 e 10 anos.
The purpose of this final assignment is to answer the question: What explains the CDS (credit default swaps) spreads of Portuguese government debt, as this differs from the German public debt? We were chosen for such diverse variables divided into two groups (variables representing the economic situation of the economy and financial variables related to stock market), three maturities (1, 5 and 10 years) and three periods (august 2005 to february 2008, march 2008 to july 2010 and august 2010 to march 2012). The econometric study developed allowed several important conclusions. The variable spread of Portuguese government bonds has significance in almost all regressions and has a positive impact. The levels of public debt are also a significant determinant of spreads, whose positive effect has more relevance for spreads at 1 year. The exchange rate has a negative effect, with more relevance in spreads at 1 and 5 years. The real growth rate, with its negative impact, it is more important to total and II periods, and to spreads at 1 year. The factors related to the external sector have a negative effect and are significant only for spreads at 1 year, and GDP per capita increased default risk for spreads at 5 and 10 years.
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Tesařová, Veronika. "Analýza vývoje CDS na státní dluhopisy krizových zemí eurozóny." Master's thesis, Vysoká škola ekonomická v Praze, 2011. http://www.nusl.cz/ntk/nusl-113535.
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This thesis is about the credit default swap market and its development from the moment of its origin to the present. The focus is on the peripheral countries of eurozone, especially on Greece. The first part of the thesis is about the characteristics of CDS contracts, settlement of contracts and the relationship between CDS and insurance contracts. The other parts of the thesis are about the crisis in Greece, the CDS on sovereign greek bonds and the credit event. The last part of the thesis is about CDS on other sovereign bonds of peripheral countries in eurozone which are Spain, Italy and Portugal.
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Mace, Jennifer. "Are CDS Auctions the Tail Wagging the Dog? An Empirical Study of Corporate Bond Return Volatility at the Time of Default." Scholarship @ Claremont, 2019. https://scholarship.claremont.edu/cmc_theses/2212.
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Over the past decade, numerous engineered credit events and cases of market participants manipulating bond prices to influence Credit Default Swap (CDS) auction payouts have occurred. These cases have become increasingly common, and the CFTC has stated they may constitute market manipulation and undermine not only the CDS market but also the credit derivative and default markets. Although there is a plethora of news and media coverage on publicized cases, there is no previous empirical research on evidence of these practices. This paper is motivated by the desire to determine if there is indirect evidence of bond price manipulation around default and of market participants’ attempts to favorably move CDS’s underlying bond prices to achieve more profitable positions around default and emerging from CDS auctions. The analysis is performed by analyzing the effect of a bonds’ inclusion in CDS auctions on bond return volatility around the time of default while controlling for credit risk, illiquidity, firm fundamentals, and other bond-level controls. I find that bond return volatility around default is much higher as a result of a bond’s inclusion in a CDS auction, which serves as indirect evidence of bond price manipulation around default as market participants strive for more profitable CDS auction outcomes and possibly of manufactured credit events. Consistent with previous literature, I also find that bond illiquidity significantly impacts bond return volatility. My results are robust to propensity score matching, implementing double-robust estimators, and controlling for any time-varying cross-sectionally-invariant fluctuations in bond return volatility.
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Gaspar, Bruno António Rosado. "Modelo de previsão de Corporate CDS Spreads - mercado europeu." Master's thesis, Instituto Superior de Economia e Gestão, 2012. http://hdl.handle.net/10400.5/4354.
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Mestrado em FinançasO objectivo deste trabalho consiste na definição de um modelo econométrico com forte evidência estatística para explicação da evolução dos market spreads dos principais emitentes europeus. O modelo explicativo foi especificado a partir de variáveis endógenas e exógenas às diversas entidades que compõem o índice bolsista DJ Eurostoxx 50. A modelização foi efectuada em duas fases em que na primeira foi definido um modelo do tipo ARIMA (1,1,0) para um total de seis variáveis. Após a análise à aderência do modelo, foram excluídas as variáveis com menor significância estatística, tendo assim sido definido um novo modelo com maior robustez e parcimônia. No âmbito da análise efectuada, verificou-se uma forte auto-correlação entre as variações percentuais verificadas nos spreads diários, bem como fortes relações estatísticas com a rendibilidade das acções, com os spreads soberanos dos países nos quais a empresa se enquadra para além da taxa de juro de mercado monetário Euribor 12M. Verificou-se, ainda, uma maior sensibilidade dos emitentes espanhóis do que dos emitentes alemães ou franceses face ao spread do próprio país. Por último, foi aplicado o modelo aos emitentes nacionais com CDS spreads divulgados numa base regular pelo sistema de informação Bloomberg tendo sido apuradas conclusões semelhantes aos restantes emitentes europeus. O modelo adoptado permite a previsão a um dia com um forte grau de fiabilidade, sendo que para diferenças temporais superiores o modelo mostra-se menos robusto.
The purpose of this working project consists in the definition of an econometric model with strong statistical evidence in order to explain the evolution of the main European issuers market spreads. The model adopted endogenous and exogenous variables to the DJ Eurostoxx 50's members. The APvIMA (1,1,0) model adopted to preview was implemented in two steps and in the first one six variables were considered. After the trial model analysis the model was simplified through the exclusion of the statistically insignificant series. The methodology followed permits an adoption of more parsimonious and predictive model. It was concluded that the daily relative changes of the spreads have strong autocorrelation. Relationship with equity performance, sovereign spreads and Euribor 12M was also found. It was verified that Spanish issuers have more sensibility to the sovereign spread than French and German issuers. This model was also to the main Portuguese issuers with public information disseminated in Bloomberg information system. Similar conclusions were obtained. The model adopted is useful to one-day forecasts but not to longer horizons.
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Candido, Guilherme Amaral. "Aplicação de um modelo de intensidade para apreçamento de credit default swaps sobre emissor corporativo no Brasil." reponame:Repositório Institucional do FGV, 2018. http://hdl.handle.net/10438/20441.
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Extensa literatura existe acerca de apreçamento de derivativos de crédito, em especial Credit Default Swaps, porém pouco foi discutido sobre o caso peculiar brasileiro, com convenções de taxas de juros e legislação específicas. Este trabalho foca na implementação de um modelo de intensidade, em particular o modelo padrão da ISDA, adaptado à um contrato de CDS no Brasil sobre um emissor corporativo. Spreads de Credit Default Swaps negociados no mercado offshore, yields de bonds e yields de debêntures foram utilizados como insumos para obtenção das taxas implícitas de intensidade de default e backtesting do modelo. Os dados utilizados compreendem o período de 2015 a 2017, englobando momentos de estresse relacionados à crise política brasileira. Algumas aplicações são, então, apresentadas, entre elas hedging, basis trading e estruturação de Credit Linked Notes.
Extensive literature exists on the pricing of credit derivatives, particularly Credit Default Swaps, yet little has been discussed about the distinctive Brazilian case, with specific legislation and interest rate conventions. This work aims to implement an intensity model, in particular the standard ISDA model, adapted to a CDS contract in Brazil on a corporate issuer. Spreads of Credit Default Swaps traded in the offshore market, offshore bond yields and local bond yields were used as inputs for obtaining the implicit hazard rates and for back testing the model. The data used cover the period from 2015 to 2017, including relevant moments of stress related to the Brazilian political crisis. Some applications are then presented, including hedging, basis trading and Credit Linked Notes structuring.
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Chiurchiu, Pier Paolo. "Approximations in Credit Risk Models." Master's thesis, Alma Mater Studiorum - Università di Bologna, 2016. http://amslaurea.unibo.it/12385/.
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In this thesis we present the intensity-based approach to consider default in a general local-stochastic volatility model with stochastic interest rate. In this setting we describe, as in [18], a technique to find approximate solutions of the corresponding partial differential equations and we provide numerical examples in the particular case of JDCEV and Vasicek model, respectively, for the dynamics of the asset and the short rate. Finally, we introduce a formula for the par CDS spreads and applying the approximation method we calibrate our intensity model to credit data finding the model parameters matching the default probabilities implicit in CDS prices (by bootstrapping) to the default probabilities implied by the model
itself.
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Melo, Pedro Ricardo Proença. "Credit dependencies : an analysis of European CDS and CDO contracts." Master's thesis, Instituto Superior de Economia e Gestão, 2012. http://hdl.handle.net/10400.5/10367.
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Mestrado em FinançasEste estudo tem como objetivo estudar o mercado europeu de CDS e CDO. Através de uma análise econométrica estimaremos a relevância de diversas variáveis para explicar o logaritmo das primeiras diferenças dos spreads das tranches do CDO baseado no iTraxx Europe 5-year. Assim, a nossa amostra é composta por dados diários desde Fevereiro de 2005 até Fevereiro de 2012 das tranches do iTraxx Main 5-year e de proxies para os riscos de crédito, taxa de juro, liquidez e para a volatilidade de mercado e rendibilidades do mercado acionista. Para aferir se houve alterações significativas no mercado Europeu de CDO depois da crise financeira, estimaremos duas regressões adicionais, onde na primeira utilizaremos uma dummy temporal para isolar os períodos antes e depois da crise e na segunda outra dummy temporal para isolar o período após a falência do Lehman Brothers. As nossas principais conclusões são que as proxies para os riscos de crédito e de taxa-de-juro, bem como a volatilidade de mercado são relevantes em todas as tranches para a totalidade do período da amostra. Além disso, as rendibilidades do mercado acionista e o declive da estrutura temporal parecem assumir uma maior relevância para explicar as tranches do CDO depois da crise financeira de 2007.
The focus of this study is the European CDS and CDO markets. Using a regression-based approach we estimated the relevance of market-based proxies for explaining the first differences of the logarithm of European CDS Index tranches premia (iTraxx Europe 5-year index). Therefore, our sample is comprised by daily data since February 2005 to February 2012, of iTraxx Main 5-year tranche premia and proxies for credit risk, interest rate risk, liquidity risk, equity returns and market volatility. In order to understand if there were significant changes in the CDO market after the financial crisis, we run two additional regressions, where first, we add a time dummy to isolate the periods before and after the turmoil and, after that we include a time dummy to isolate the period after the Lehman Brothers´ collapse. Our main findings are that proxies for credit risk, risk-free rate risk and market volatility are significant in all tranches when we consider the entire sample. Moreover, equity returns and the slope of the term structure seem to play a more important role in pricing tranche premia, since the start of the financial crisis of 2007.
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Reichert, Alexander M. "The Value of the Sovereign Credit Default Market: Domestic Stock Market Interaction and Contagion Effects during Credit Crisis." Scholarship @ Claremont, 2010. http://scholarship.claremont.edu/cmc_theses/75.
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Credit Default Swaps have become a large part of financial markets and recently the center of debate between academics and regulators alike. Transferring the techniques to measure information flow between the CDS market and stock markets presented by Acharya and Johnson (2007), this paper looks at the relationship between a countries sovereign CDS spread level and its predominate stock exchange. Under the back drop of the Greek Credit Crisis in Spring of 2010 I measure contagion effects in the Euro Zone comparing the level of Granger causality significance between the stock and CDS market. I find that the greatest information flow from the CDS market to the stock market is during credit shocks or times of high credit distress. My results also point to the significance of the contagion effect in the CDS market but not in the stock market.
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Vashkevich, Aliaksandra, and Dong Wei Hu. "Credit Default Swap in a financial portfolio: angel or devil? : A study of the diversification effect of CDS during 2005-2010." Thesis, Umeå universitet, Handelshögskolan vid Umeå universitet, 2010. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-39410.
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Credit derivative market has experienced an exponential growth during the last 10 years with credit default swap (CDS) as an undoubted leader within this group. CDS contract is a bilateral agreement where the seller of the financial instrument provides the buyer the right to get reimbursed in case of the default in exchange for a continuous payment expressed as a CDS spread multiplied by the notional amount of the underlying debt. Originally invented to transfer the credit risk from the risk-averse investor to that one who is more prone to take on an additional risk, recently the instrument has been actively employed by the speculators betting on the financial health of the underlying obligation. It is believed that CDS contributed to the recent turmoil on financial markets and served as a weapon of mass destruction exaggerating the systematic risk. However, the latest attempts to curb the destructive force of the credit derivative for the market by means of enhancing the regulation over the instrument, bringing it on the stock-exchange and solving the transparency issue might approve CDS in the face of investor who seeks to diminish the risk of his financial portfolio. In our thesis we provide empirical evidence of CDS ability to fulfil the diversification function in the portfolio of such credit sensitive claims as bonds and stocks. Our data for the empirical analysis consist of 12 European companies whose debt underlies the most frequently traded single-name CDS with the maturity of 5 years. Through multivariate vector autoregressive models we have tested the intertemporal relation between stock returns, CDS and bond spreads changes as well as the magnitude of this relation depending on the stock market state. The results we have achieved for our sample are the following: 1) stock returns are mainly negatively related to the CDS and bond spread changes; 2) stock returns are the least affected by both credit spread changes, whereas changes in bond spreads are the best explained by the stock and CDS market movements; 3) the strength of the relation between three variables differs over the time: the relationship between stock returns and CDS spreads is the most dominant during the pre and post-crisis periods, while during the financial crisis time the relation between stock returns and bond spread changes as well as that of between both credit spreads comes to the foreground. The above described relations between the three markets serve as a proof of the possibility to work out diversification strategies employing CDS. During the time of turbulence on the markets the investor may exert bigger diversification gains with the help of CDS. Thus, in spite of all the recent blame of the instrument from the investor perspective it is still remains one of the sources of profit.
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Holemans, Amelia Nadine. "Applying a credit default swap valuation approach to price South African weather derivatives / Amelia Nadine Holemans." Thesis, North-West University, 2010. http://hdl.handle.net/10394/4456.
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Most farmers in South Africa use standard insurance to protect their crops against natural disasters
such as hail or strong winds. However, no South African insurance contracts exist to compensate
for too much or too little rain (although floods are covered), or which will pay out if
temperatures were too high or too low for a certain period of time for the relevant crop.
Weather derivatives - which farmers may employ to ensure crops against adverse temperatures -
do exist, but these are mostly available in foreign markets in the form of Heating Degree Days
contracts and Cooling Degree Day contracts and are used chiefly by energy companies. Some
South African over-the-counter weather derivatives are available, but trading in these is rare and
seldom used.
The goal of this dissertation is to establish a pricing equation for weather derivatives specifically
for use in the South African market. This equation will be derived using a similar methodology
to that employed for credit default swaps. The premium derived will be designed to compensate
grape farmers from losses arising from two different climatic outcomes - in this case temperature
and precipitation. These derivatives will be region and crop specific and the formulation will be
sufficiently flexible as to allow for further climatic possibilities (which may be added at a later
stage).
These weather derivative premiums will then be compared to standard crop insurance to establish
economic viability of the products and recommendations will be made regarding their usage.
The possibility of the simultaneous use of these derivatives and standard crop insurance for optimal
crop coverage will also be explored and discussed.Thesis (M.Com. (Risk management))--North-West University, Potchefstroom Campus, 2011.
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De, la Cerda Ramírez Francisco Antonio. "¿Existe información relevante en los CDS para predecir cambios de rating? : un modelo probit con datos de panel para países emergentes." Tesis, Universidad de Chile, 2018. http://repositorio.uchile.cl/handle/2250/167998.
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TESIS PARA OPTAR AL GRADO DE MAGÍSTER EN FINANZASEsta investigación se evalúa si los mercados de CDS (Credit Default Swap) de países emergentes son capaces de anticipar cambios en el rating de la deuda soberana. Se utiliza el rating soberano asignado por parte de las tres grandes agencias clasificadoras de riesgo y los Credit Default Swap soberano a 10 años, para una muestra compuesta por 27 países emergentes. Se utilizaron datos de frecuencia mensual para el periodo comprendido entre septiembre de 2008 y enero de 2018, en el cual se incluyen dos crisis financieras internacionales (crisis subprime y la amenaza de contagio de la crisis de deuda soberana de europa). El modelo econométrico consiste en una estimación en dos fases. En la primera, se estima a través de un modelo de regresión lineal de corte transversal el desalineamiento del spread de CDS de un país con respecto a sus pares de igual clasificación. En la segunda, se utiliza esta innovadora variable para estimar a través de un modelo probit con datos de panel la probabilidad de cambio de rating internalizada por el mercado de CDS. Se analiza de manera independiente los eventos de crédito que mejoran el rating (upgrade) y los que lo rebajan (downgrade). Se comprueba que, incluso utilizando diferentes supuestos para la construcción de las variables, los CDS son un instrumento financiero capaz de entregar información relevante para predecir cambios en el rating soberano. Además, mediante un conjunto de pruebas de robustez, se entrega sustento para dos principales conclusiones. Primero, que el mercado de CDS asignaría una mayor probabilidad de cambio de rating (tanto para downgrade como upgrade) a los países de peor clasificación crediticia y, más aún, a aquel grupo de países con grado especulativo. Segundo, los resultados muestran que a medida que se acerca la fecha del evento, el mercado contaría con mayor información para predecir cambios de rating, lo cual se podría esperar intuitivamente. Esta investigación realiza un aporte a la literatura previa tanto en el modelo implementado como su capacidad predictiva de cambios de rating, la cual se mantiene incluso frente a diferentes especificaciones de las variables explicativa relevantes y cambios en los supuestos utilizados.
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Liu, Yang. "A study of the interaction between the sovereign credit default swap market and the exchange rate : an analysis from a macroeconomic perspective." Thesis, University of Bath, 2013. https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.571877.
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This thesis analyses the relationship between the increasingly important sovereign CDS spreads and exchange rates, from a macroeconomic perspective. It attempts to address an existing gap in the empirical literature, which to date has paid limited attention to the role of exchange rates in influencing sovereign CDS spreads, and vice versa. In exploring the relationship between sovereign CDS markets and foreign exchange markets, I find relatively strong evidence of a causal relationship between these two variables. In a longer-term cointegrating relationship, I find that sovereign CDS spreads have different impacts (positive or negative) on exchange rates depending on the structural characteristics of the domestic export sectors of the countries studied. Turning to the second moment of exchange rates and sovereign CDS spreads, I examine the relationship between the volatility of sovereign CDS spreads and the volatility of exchange rates for developed economies (proxied by an index containing 10 Eurozone countries) and emerging economies (proxied by Brazil and Russia). My findings point to different mechanisms of transmission between sovereign CDS markets and foreign exchange markets with regard to developed and emerging economies: for developed economies, exchange rates affect sovereign CDS spreads through the volatility, whilst in emerging economies the exchange rates affect sovereign CDS spreads at the price level. To further analyse the determinants of sovereign CDS spreads, I incorporate additional macroeconomic fundamentals in addition to exchange rates into a model to explain sovereign CDS spreads. The results show that sovereign CDS spreads are indeed driven by most macroeconomic fundamentals. However, these results do not hold during periods of economic turmoil, in which the rising risk aversion of investors becomes a principal influence behind the sovereign CDS spreads. As changes in exchange rates are able to capture changes to risk aversion through trading in foreign exchange markets, the exchange rate retains its explanatory power to sovereign CDS spreads in ‘normal’ as well as ‘crisis’ conditions. Overall, the study provides strong support for the claim that exchange rates are an important determinant of sovereign CDS spreads, in addition to the interest rate which is highlighted in the literature review. The exchange rate – as an important fundamental indicator – can reflect the general domestic economic status, the relative international competitiveness of countries, as well as capture changes in risk aversion among investors. Therefore, using exchange rates to explain sovereign CDS spreads can help to account for both domestic and international dimensions of the ‘health’ of an economy as well as changes in investors’ attitudes.
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Марчук, В. П. "Кредитно-дефолтні свопи (CDS), як спекулятивний інструмент та показник вимірювання ризику дефолту." Thesis, Українська академія банківської справи Національного банку України, 2009. http://essuir.sumdu.edu.ua/handle/123456789/56915.
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CDS - похідний цінний папір базовим активом для якого може бути будь-яке боргове зобов'язання. Котирування CDS по зовнішним державним облігаціям дає можливість використовувати їх для оцінки спроможності держав виконувати зовнішні зобов'язання.CDS - derivative security reference asset for which can be any debt. Quotes CDS on external government bonds makes it possible to use them for assessing the ability of States to comply with external obligations
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Gałkiewicz, Dominika Paula. "Regulation, leverage, and derivative use by mutual funds." Doctoral thesis, Humboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät, 2015. http://dx.doi.org/10.18452/17171.
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Die vorliegende Dissertation ist in drei Themenblöcke unterteilt. Im Mittelpunkt des ersten Themenblocks steht die vergleichende Analyse der Fondsregulierung in den USA und Deutschland/der EU in Bezug auf Derivate und Verschuldung vor, während und nach der Finanzkrise 2007-2009. Ziel ist es, anhand der Darstellung der geltenden Regulierung und ihrer Anwendbarkeit auf die hypothetische Nutzung von Credit Default Swaps (CDS) durch Anleihefonds, aufzuzeigen, wie viel Flexibilität Fonds in beiden Ländern haben. Insgesamt ist der aus der Fondsregulierung erwachsende Spielraum im Hinblick auf den Einsatz von Derivaten und Verschuldung für Fonds in beiden Ländern hoch, so dass Fonds unbeobachtet ihre Zusammensetzung in Richtung risikoreicherer Kapitalanlagen lenken könnten. Der zweite Themenblock beschäftigt sich empirisch mit der Frage, in wie weit Fonds ihre Flexibilität tatsächlich ausnutzen. Als Erstes wird dabei untersucht, wie hoch das Verlustpotential der größten Fonds in den USA und Deutschland aus CDS ist. Ferner wird analysiert, ob Fondskommentare in Jahres- und Halbjahresberichten bezogen auf deren Nutzung von CDS mit den tatsächlichen CDS-Beständen konsistent sind. Basierend auf den Resultaten ist es zu empfehlen, nicht nur bestehende Regeln im Hinblick auf die spekulative Anwendung von Derivaten angemessen zu verschärfen, sondern auch die Publizitätspflichten in beiden Ländern weiter zu standardisieren. Unter Heranziehung umfangreicher Fondscharakteristika, insbesondere Managercharakteristika, untersucht der dritte Themenblock, was die Entscheidung der US Anleihefonds CDS zu benutzen, deren Nutzung zu erweitern sowie die Nutzungsweise beeinflusst. Ferner werden die exakten Typen von CDS, die von Anleihefonds gehalten werden, wie z. B. long oder short CDS, die sich auf Einzelnamen oder Gruppen von Titeln beziehen, aufgezeigt.The thesis consists of three parts. The first part analyzes the regulation at the time surrounding the 2007-2009 financial crisis and after with respect to leverage and derivative holdings for mutual funds in the U.S. and Germany/the EU. After presenting a detailed overview of U.S. and German/European regulations, this study thoroughly compares the levels of flexibility funds have in both countries. All analyses reveal that under existing derivative and leverage regulation, funds in both countries are able to increase risk by using derivatives up to the point at which it is possible for them to default solely due to investments in derivatives. This makes the issue of regulation highly relevant for the public and regulators. The second part builds upon the first and empirically investigates the level of credit derivatives use by funds together with their communication toward investors. Firstly, the loss potential arising from investments into CDS for a sample of large U.S. and German mutual funds is analyzed. Secondly, it is investigated whether comments on CDS use contained in periodic fund reports are consistent with the disclosed CDS holdings. Based on the results, it seems advisable that regulators in both countries tighten rules restricting the speculative use of derivatives by funds to a reasonable level, as well as implement more standardized disclosure policies. The third part analyzes what determines whether U.S. corporate bond funds decide to use CDS in a particular period between mid-2004 to 2010, to which extent they use them and how, by relying on various fund characteristics including an extended set of manager variables. In addition, the types of various credit derivatives that funds use (e.g. long and short CDS on single-name or multi-name underlying positions) are presented. The results suggest that the characteristics of fund managers affect a fund’s risk taking via derivatives, in addition to fund fundamentals.
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Gonçalves, Rodrigo Caldas. "Análise do prêmio de risco de títulos de dívida brasileiros emitidos no exterior e o Credit Spread Puzzle." reponame:Repositório Institucional da UnB, 2011. http://repositorio.unb.br/handle/10482/9256.
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Dissertação (mestrado)—Universidade de Brasília, Departamento de Economia, 2011.Submitted by Shayane Marques Zica (marquacizh@uol.com.br) on 2011-09-12T20:34:16Z No. of bitstreams: 1 2011_RodrigoCaldasGonçalves.pdf: 805939 bytes, checksum: 362aab0bea917f3c353b5ea5c9f18b29 (MD5)
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Este trabalho aborda o modelo de precificação do CDS de emissões soberanas, proposto por Remolona in ‘A Ratings Based Approach to Measuring Sovereign Risk’ (International Journal of Finance and Economics, vol. 13, issue 1, 26-39) como forma de evidenciar parcelas do risco soberano não amparadas pela perda esperada, calculada de acordo com o rating soberano dos emissores, originando o que a literatura acadêmica chama de Credit Spread Puzzle. Foi avaliado o modelo para CDS com maturidades de 2, 3, 5, 7 e 10 anos, para grupos de 7 e 8 países emergentes, incluindo-se sempre o Brasil, considerando os períodos entre janeiro de 2002 e junho de 2006, e janeiro de 2002 e junho de 2010, utilizando para tal regressões em painel. Complementarmente, foram realizadas regressões lineares individuais pelo método OLS de 12 países, sendo 10 emergentes e 2 da zona do Euro que atualmente enfrentam problemas em relação à gestão de suas dívidas externas. Foi também avaliado o comportamento do indicador de Volatilidade VIX, elaborado pela Chicago Board of Options Exchange, e as implicações que possui na formação do CDS. Com base em dados de expectativas de perdas de todos os países, calculado com base no rating individual divulgado pela agência de classificação de Risco Moody’s, e nos CDS dos diversos países analisados, foi calculada individualmente a parcela de prêmio decorrente de perdas inesperadas, ou prêmio de risco, e feita análise comparativa com o prêmio de risco brasileiro. Os resultados mostraram que o modelo proposto por Remolona sofreu forte influência da crise subprime ocorrida entre 2008 e 2009, o que mudou os parâmetros dos coeficientes da regressão em painel, sem, no entanto, invalidar o modelo. Foi constatado que existem restrições para aplicação do modelo aos CDS individualmente, não sendo confiável sua utilização sem adaptações. Foi constatada a existência de autocorrelação de resíduos, demonstrando que existem fatores que não foram incluídos na modelagem. Em relação à análise de prêmios, constatou-se que o Brasil, se comparado aos demais países avaliados, vem apresentando significativas melhoras na taxa de CDS, além de ter apresentado perdas menores em razão da crise do subprime, principalmente nas maturidades de 2, 3 e 5 anos, indicando uma incompatibilidade entre as perdas esperadas, e consequentemente a classificação de risco atribuída, e a precificação feita pelo mercado, sendo que muitas vezes a última apresentou valor inferior à precificação esperada. _______________________________________________________________________________ ABSTRACT
This paper discusses the model for pricing sovereign CDS emissions proposed by Remolona in 'A Ratings Based Approach to Measuring Sovereign Risk' (International Journal of Finance and Economics, vol. 13, issue 1, 26-39) as a way of showing portions of sovereign risk is not supported by the expected loss calculated in accordance with the sovereign rating of the issuers, resulting in what the academic literature calls the Credit Spread Puzzle. We evaluated the model for CDS with maturities of 2, 3, 5, 7 and 10 years, for groups of 7 and 8 developing countries, always including Brazil, considering the periods between January 2002 and June 2006 and January 2002 and June 2010, using such panel regressions. In addition, individual linear regressions were performed by OLS from 12 countries, 10 emerging and 2 of the Eurozone which currently face problems in relation to the management of foreign debts. It was also rated the behavior of the VIX volatility indicator, developed by the Chicago Board of Options Exchange, and the implications it has on the formation of the CDS. Based on data from expected losses of all countries, calculated on the basis of individual rating issued by rating agency Moody's, and the CDS of the analyzed countries, was calculated individually to share premium arising from unexpected losses, or premium risk, and made comparison with the Brazilian risk premium. The results showed that the model proposed by Remolona was strongly influenced by the subprime crisis that occurred between 2008 and 2009, which changed the parameters of the regression coefficients in the panel, without, however, invalidate the model. It was noted that restrictions apply to individual CDS, its use is not reliable without adaptations. It has been found the existence of autocorrelation of residues, demonstrating that there are factors that were not included in the modeling. On the analysis of premiums, it was found that Brazil, as compared to other countries evaluated, has shown significant improvements in the rate of CDS, and also presented lower losses due to subprime crisis, primarily with maturities of 2, 3 and 5 years, indicating a mismatch between the expected losses, and consequently the risk ratings assigned, and pricing by the market, and often the latter showed a value below the expected pricing.
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Harasta, Balazs. "The determinants of the price of credit risk : an empirical analysis of the CDS, bond and equity markets /." Table on contents, 2008. http://aleph.unisg.ch/hsgscan/hm00231731.pdf.
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Simakova, Irina. "Agent-Based Modeling Exploring Sovereign CDS Spreads in Europe." Doctoral thesis, Università degli studi di Bergamo, 2018. http://hdl.handle.net/10446/105203.
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In this thesis, we systematize the studies of an agent-based modeling in finance. We introduce the application of the agent-based modeling to the detection of the linkage between two complex systems on the macro- and micro-levels – the European market of sovereign Credit Default Swaps (macro-level) and the Italian equity market (micro-level). To execute this, we develop a framework for the capacity to slave the simulated dynamics of the first market to the changes in the dynamic direction of the second market in a long term by the transformation of the $-game slaving algorithm in the part of the choice of the optimal strategy. Moreover, by means of the Tremor Price Dynamics, we explain the practicality of the global market dynamics for the predictions of the local market fluctuations. Then, we use the effect of decoupling to obtain the knowledge about the time of (negative) bubble occurrence in the European market of sovereign CDS, and on its base we divide analytically the time series of two markets into separate bubble-periods. As a result, we obtain the information confirming the lead-lag linkage between the European market of sovereign Credit Default Swaps and the Italian equity market which could not been caught by means of the standard approach. Finally, we demonstrate a simple example of how to make the predictions of the changes in the dynamic direction of the lagged local market on the base of the bubble-periods appearing on the leading global market.
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Fadel, Sayed M. "Pricing Basket of Credit Default Swaps and Collateralised Debt Obligation by Lévy Linearly Correlated, Stochastically Correlated, and Randomly Loaded Factor Copula Models and Evaluated by the Fast and Very Fast Fourier Transform." Thesis, University of Bradford, 2010. http://hdl.handle.net/10454/4902.
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In the last decade, a considerable growth has been added to the volume of the credit risk
derivatives market. This growth has been followed by the current financial market
turbulence. These two periods have outlined how significant and important are the
credit derivatives market and its products. Modelling-wise, this growth has parallelised
by more complicated and assembled credit derivatives products such as mth to default
Credit Default Swaps (CDS), m out of n (CDS) and collateralised debt obligation
(CDO).
In this thesis, the Lévy process has been proposed to generalise and overcome the Credit
Risk derivatives standard pricing model's limitations, i.e. Gaussian Factor Copula
Model. One of the most important drawbacks is that it has a lack of tail dependence or,
in other words, it needs more skewed correlation. However, by the Lévy Factor Copula
Model, the microscopic approach of exploring this factor copula models has been
developed and standardised to incorporate an endless number of distribution alternatives
those admits the Lévy process. Since the Lévy process could include a variety of
processes structural assumptions from pure jumps to continuous stochastic, then those
distributions who admit this process could represent asymmetry and fat tails as they
could characterise symmetry and normal tails. As a consequence they could capture
both high and low events¿ probabilities.
Subsequently, other techniques those could enhance the skewness of its correlation and
be incorporated within the Lévy Factor Copula Model has been proposed, i.e. the
'Stochastic Correlated Lévy Factor Copula Model' and 'Lévy Random Factor Loading
Copula Model'. Then the Lévy process has been applied through a number of proposed
Pricing Basket CDS&CDO by Lévy Factor Copula and its skewed versions and evaluated by V-FFT limiting and mixture cases of the Lévy Skew Alpha-Stable distribution and Generalized
Hyperbolic distribution.
Numerically, the characteristic functions of the mth to default CDS's and
(n/m) th to
default CDS's number of defaults, the CDO's cumulative loss, and loss given default
are evaluated by semi-explicit techniques, i.e. via the DFT's Fast form (FFT) and the
proposed Very Fast form (VFFT). This technique through its fast and very fast forms
reduce the computational complexity from O(N2) to, respectively, O(N log2 N ) and
O(N ).
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Fadel, Sayed Mohammed. "Pricing basket of credit default swaps and collateralised debt obligation by Lévy linearly correlated, stochastically correlated, and randomly loaded factor copula models and evaluated by the fast and very fast Fourier transform." Thesis, University of Bradford, 2010. http://hdl.handle.net/10454/4902.
Full textAbstract:
In the last decade, a considerable growth has been added to the volume of the credit risk derivatives market. This growth has been followed by the current financial market turbulence. These two periods have outlined how significant and important are the credit derivatives market and its products. Modelling-wise, this growth has parallelised by more complicated and assembled credit derivatives products such as mth to default Credit Default Swaps (CDS), m out of n (CDS) and collateralised debt obligation (CDO). In this thesis, the Lévy process has been proposed to generalise and overcome the Credit Risk derivatives standard pricing model's limitations, i.e. Gaussian Factor Copula Model. One of the most important drawbacks is that it has a lack of tail dependence or, in other words, it needs more skewed correlation. However, by the Lévy Factor Copula Model, the microscopic approach of exploring this factor copula models has been developed and standardised to incorporate an endless number of distribution alternatives those admits the Lévy process. Since the Lévy process could include a variety of processes structural assumptions from pure jumps to continuous stochastic, then those distributions who admit this process could represent asymmetry and fat tails as they could characterise symmetry and normal tails. As a consequence they could capture both high and low events' probabilities. Subsequently, other techniques those could enhance the skewness of its correlation and be incorporated within the Lévy Factor Copula Model has been proposed, i.e. the 'Stochastic Correlated Lévy Factor Copula Model' and 'Lévy Random Factor Loading Copula Model'. Then the Lévy process has been applied through a number of proposed Pricing Basket CDS&CDO by Lévy Factor Copula and its skewed versions and evaluated by V-FFT limiting and mixture cases of the Lévy Skew Alpha-Stable distribution and Generalized Hyperbolic distribution. Numerically, the characteristic functions of the mth to default CDS's and (n/m) th to default CDS's number of defaults, the CDO's cumulative loss, and loss given default are evaluated by semi-explicit techniques, i.e. via the DFT's Fast form (FFT) and the proposed Very Fast form (VFFT). This technique through its fast and very fast forms reduce the computational complexity from O(N2) to, respectively, O(N log2 N ) and O(N ).
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Wagner, Eva. "Credit default swaps und Informationsgehalt." Wiesbaden Gabler, 2007. http://d-nb.info/989185206/04.
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Wagner, Eva. "Credit Default Swaps und Informationsgehalt /." Wiesbaden : Gabler, 2008. http://www.gbv.de/dms/zbw/570512298.pdf.
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Guo, Biao. "Essays on credit default swaps." Thesis, University of Nottingham, 2013. http://eprints.nottingham.ac.uk/13101/.
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This thesis is structured to research on a financial derivative asset known as a credit default swap (CDS). A CDS is a contract in which the buyer of protection makes a series of payments (often referred to as CDS spreads) to the protection seller and, in exchange, receives a payoff if a default event occurs. A default event can be defined in several ways, including failure to pay, restructuring or rescheduling of debt, credit event repudiation, moratorium and acceleration. The main motivation of my PhD thesis is to investigate the determinants of the changes of CDS spreads and to model the evolution of spreads. Two widely traded types are corporate and sovereign CDS contracts, the first has as its underlying asset a corporate bond and, hence, hedges against the default risk of a company; the second type hedges against the default risk of a sovereign country. The two contract types have different risk profiles; for example, it is known that liquidity premium with different maturity varies significantly for a corporate CDS but less so for a sovereign CDS because, in contrast with the corporate markets where a majority of the trading volume is concentrated on the 5-year CDS, the sovereign market has a more uniform trading volume across maturities. In light of the difference, this thesis is divided into four parts. Part A introduces the motivation and research questions of this thesis, followed by literature review on debt valuation, with emphasis on default and liquidity spreads modelling. Part B aims at the role liquidity risk plays in explaining the changes in corporate CDS spreads. Part C models sovereign CDS spreads with macro and latent factors in a no-arbitrage framework. Part D concludes this thesis with a list of limitations and further research direction.
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Levy, Ariel. "Essays on credit default swaps." Diss., Restricted to subscribing institutions, 2009. http://proquest.umi.com/pqdweb?did=1872060451&sid=3&Fmt=2&clientId=1564&RQT=309&VName=PQD.
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Evans, Leonard Andrew. "Credit ratings, credit default swaps and credit correlation." Thesis, Imperial College London, 2012. http://hdl.handle.net/10044/1/9833.
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This thesis looks at the statistical interaction of credit ratings and Credit Default Swap (CDS) spreads. Both have been implicated as major contributors to the financial crises of 2007-present. The body of work contained herein looks to further our understanding of their relationship and in doing so, I make three empirical contributions to the fields of credit risk and financial economics. Firstly, in Chapter 2, I uncover a striking empirical artifact contained within CDS correlation dynamics. Namely, that there is a well-defined credit rating structure embedded in them. Although much of the extant literature treats credit derivatives and equity as contingent claims on the same underlying firm value, by contrast, no rating-based structure exists in equity correlations. In Chapter 3, I demonstrate that rating-based correlation dynamics in CDS markets are not fully consistent with the traditional framework of financial economics in which a security’s price merely reflects its fundamental value. I show that the trading behaviour of market participants in relation to CDS indices, the constituents of which are based on the discrete and somewhat arbitrary labeling of issuers as either investment-grade or high-yield, drives a distortion in single-name CDS co-movement. My results can be interpreted as the first evidence of a significant departure from traditional views of market efficiency in a $30 trillion segment of global derivatives markets. Finally, in Chapter 4, I go on to explore the complete time-series and cross-sectional interaction of the credit rating process on CDS spreads. In doing so, I identify that prior to the crisis, credit rating agencies played a much greater role in the price discovery process of corporate credit risk. As such, there has been a significant loss of information in credit ratings. This result can be explained via a loss of confidence in rating agencies due to a spill-over effect of reputational damage from their role in the collapse of the $3tn structured credit derivatives market. The use of ex post hyper-inflated AAA ratings on CDOs and RMBS, and the subsequent fall-out from doing so, has altered how credit market participants react to the information contained in corporate credit ratings. These results are particularly relevant in light of impending regulatory reform under the Dodd-Frank act of 2010.
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Fonseca, Vladimir João de Oliveira Lopes Dias da. "Counterparty and Liquidity Risk : an analysis of the negative basis." Master's thesis, Instituto Superior de Economia e Gestão, 2011. http://hdl.handle.net/10400.5/4630.
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Mestrado em FinançasIn this study we analyse the equivalence between credit default swap (CDS) spreads and corporate bond yield spreads from March 2007 to March 2011 for investment graded corporate entities in the eurozone. We find evidence of cointegration between the two markets and that CDS prices tends to lead corporate yield spreads. We find support for significant effects of counterparty and funding risks in the basis, measured as the difference between CDS and corporate yield spreads, with negative impact, and that liquidity also matters in this context.
No contexto da relação teórica de equilíbrio entre os preços dos CDS e as yield spreads das obrigações das empresas face a taxas de juro sem risco, este trabalho conclui que existe cointegração entre estas duas variáveis para entidades de referência na zona euro no período que decorre entre Março de 2007 e Março de 2011. A análise efectuada revelou que o risco de contraparte e o risco de liquidez em ambos os mercados tiveram um impacto significativo na base, entre os CDS e os referidos spreads, e que os preços dos CDS tenderam a liderar as yield spreads das obrigações no período em análise.
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Diallo, Nafi C. "The valuation of credit default swaps." Link to electronic thesis, 2005. http://www.wpi.edu/Pubs/ETD/Available/etd-011106-122357/.
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Diallo, Nafi C. "The Valuation of Credit Default Swaps." Digital WPI, 2006. https://digitalcommons.wpi.edu/etd-theses/57.
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The credit derivatives market has known an incredible development since its advent in the 1990's. Today there is a plethora of credit derivatives going from the simplest ones, credit default swaps (CDS), to more complex ones such as synthetic single-tranche collateralized debt obligations. Valuing this rich panel of products involves modeling credit risk. For this purpose, two main approaches have been explored and proposed since 1976. The first approach is the Structural approach, first proposed by Merton in 1976, following the work of Black-Scholes for pricing stock options. This approach relies in the capital structure of a firm to model its probability of default. The other approach is called the Reduced-form approach or the hazard rate approach. It is pioneered by Duffie, Lando, Jarrow among others. The main thesis in this approach is that default should be modeled as a jump process. The objective of this work is to value Asset-backed Credit default swaps using the hazard rate approach.
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Wang, Qian Sarah, and 王倩. "The real effects of credit default swaps." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2012. http://hub.hku.hk/bib/B48329575.
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In recent years, concerns have been raised about the real effects of credit default swaps (CDS) on the economy. Different from the hitherto accepted view that derivatives are redundant, CDS may affect the credit risk and strategic liquidity decision of the reference entities. In this dissertation, I use a unique, comprehensive sample covering 901 CDS introductions on North American corporate issuers, between June 1997 and April 2009, to address these questions.
In chapter 2, I investigate whether CDS trading increases the credit risk of the reference entities. I find that the probability of both a credit rating downgrade and bankruptcy increase after the inception of CDS trading. This finding is robust to controlling for the endogeneity of CDS trading in difference-in-difference analysis, propensity score matching, and treatment regressions with instruments. In further corroboration of our basic results, I explore the mechanism behind the increased credit risk after CDS trading, and show that firms with relatively larger amounts of CDS contracts outstanding, and those with more “no restructuring” contracts, are more adversely affected by CDS trading.
In chapter 3, I further investigate the effect of CDS on corporate cash holding policies. U.S. firms are holding more cash than at any time in nearly half a century. I find that CDS trading affects corporate cash holdings. Corporate cash holdings increase after the inception of CDS trading. The impact is significant after controlling for the endogeneity of CDS trading. Moreover, cash-to-assets ratios for firms with larger CDS contracts outstanding, and those with less access to financial market are more affected by CDS trading. The impact of CDS is beyond the direct effect of line of credit on cash holdings.published_or_final_version
Economics and Finance
Doctoral
Doctor of Philosophy
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Hippert, Benjamin [Verfasser]. "Essays on credit default swaps / Benjamin Hippert." Paderborn : Universitätsbibliothek, 2019. http://d-nb.info/1199439789/34.
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Sobotková, Lucie. "Credit Default Swaps: analýza, oceňování, vývoj trhu." Master's thesis, Vysoká škola ekonomická v Praze, 2007. http://www.nusl.cz/ntk/nusl-2294.
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The thesis covers three main areas regarding credit derivatives. The first part brings comprehensive description of currently known and broadly used credit derivatives. It provides a full explanation of its mechanism, advantages, settlement and practical examples of investment. The second part attempts to clarify the valuation and pricing of the basic credit derivative - credit default swap. The aim of this part is to explain the basic principles of valuing credit default swaps and to show practical examples by using markets systems (Bloomberg examples presented). It is shown how to read market data, how to analyze credit spreads and opportunities of arbitrage. The last part of my thesis gives a comprehensive commentary on global credit derivatives market historical and current development, especially on emerging markets, analysis of sovereign defaults and its impact on credit market. To conclude, the part with latest credit market development and outlook is attached.
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Frey, Rüdiger, and Lars Rösler. "Contagion Effects and Collateralized Credit Value Adjustments for Credit Default Swaps." WU Vienna University of Economics and Business, 2013. http://epub.wu.ac.at/3770/1/preprint_freyroesler.pdf.
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The paper is concerned with counterparty credit risk
management for credit default swaps in the presence of default contagion. In particular, we study the impact of default contagion on credit value adjustments such as the BCCVA (Bilateral Collateralized Credit Value Adjustment) of Brigo et al. 2012 and on the performance of various collateralization strategies. We use the incomplete-information model of Frey and Schmidt (2012) as vehicle for our analysis. We find that taking contagion effects into account is important for the effectiveness of the
strategy and we derive refined collateralization strategies to account for contagion effects. (authors' abstract)Series: Research Report Series / Department of Statistics and Mathematics
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Wang, Yan. "Finding the Value at Risk for Credit Default Swaps." Thesis, Uppsala universitet, Analys och tillämpad matematik, 2012. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-175714.
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Lan, Yi. "Survival Probability and Intensity Derived from Credit Default Swaps." Digital WPI, 2012. https://digitalcommons.wpi.edu/etd-theses/82.
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This project discusses the intensity and survival probability derived from Credit Default Swaps (CDS). We utilize two models, the reduced intensity model and the Shift Square Root Diffusion (SSRD) model. In the reduced intensity model, we assume a deterministic intensity and implement a computer simulation to derive the survival probability and intensity from the CDS market quotes of the company. In the SSRD model, the interest rate and intensity are both stochastic and correlated. We discuss the impaction of correlation on the interest rate and intensity. We also conduct a Monte Carlo simulation to determine the dynamics of stochastic interest rate and intensity.