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Abstract(s)
Intitulada de Credit Default Swap, Bail – in e Proteção Obrigacionista, esta dissertação visa elucidar o leitor quanto (i) a instrumentos financeiros pertinentes a serem implementados em situações de default das entidades financeiras, (ii) à ligação dos mesmos com a dívida soberana dos países pertencentes à zona euro e (iii) às implicações das novas regras de bail – in de acordo as normativas da ISDA 2014.
Através de uma amostra de credit default swap índex (iTraxx) respeitante à zona euro para o período temporal de 2009 a 2015, testou-se estas implicações a partir dos modelos vetoriais autorregressivos (VAR) que testam a realização de causalidade de Granger.
Nesta dissertação pode-se concluir que: (i) antes da inclusão das regras do bail-in verifica-se uma interdependência soberana e financeira; e que (ii) posteriormente à sua inclusão verifica-se uma redução do risco obrigacionista com a inclusão dos bail-ins nos CDSs – o que se traduz numa possível minoração da dependência do risco bancário e do risco soberano.
Entitled Credit Default Swap, Bail-in e Obrigação Protecionista, this dissertation aims to elucidate the reader about (i) the relevant financial instruments to be implemented in case of financial institutions default, (ii) the connection of these instruments with the sovereign debt inside the Eurozone and (iii) the implications of the ISDA 2014 rules relative to bail-ins. Through a Eurozone credit default swap índex (iTraxx) sample within the time period of 2009 to 2015, we tested these implications by using the autoregressive vector models (VAR) that test the performance of Granger causality. This thesis concludes that: (i) prior the ISDA 2014 rules of bail-ins there was a sovereign and financial interdependence; and (ii) after its inclusion there was a reduction of bond risk with the presence of bail-ins in CDSs – which translates into a possible dependence reduction between bank and sovereign risk.
Entitled Credit Default Swap, Bail-in e Obrigação Protecionista, this dissertation aims to elucidate the reader about (i) the relevant financial instruments to be implemented in case of financial institutions default, (ii) the connection of these instruments with the sovereign debt inside the Eurozone and (iii) the implications of the ISDA 2014 rules relative to bail-ins. Through a Eurozone credit default swap índex (iTraxx) sample within the time period of 2009 to 2015, we tested these implications by using the autoregressive vector models (VAR) that test the performance of Granger causality. This thesis concludes that: (i) prior the ISDA 2014 rules of bail-ins there was a sovereign and financial interdependence; and (ii) after its inclusion there was a reduction of bond risk with the presence of bail-ins in CDSs – which translates into a possible dependence reduction between bank and sovereign risk.
Description
Keywords
CDS Bail-in CoCos ISDA 2014 Regulação bancária Banking regulation