| Nome: | Descrição: | Tamanho: | Formato: | |
|---|---|---|---|---|
| 507.83 KB | Adobe PDF |
Resumo(s)
No presente trabalho analisa-se a relação entre spread e maturidade para dois tipos de syndicated loans: Fixed Asset Based Loans e General Corporate Purpose Loans. Em primeiro lugar, tenta-se perceber se a forma como o preço (spread) dos diferentes tipos de empréstimos sindicados estudados é calculado de maneira semelhante, ou seja, se existem diferenças na forma como o spread de cada tipologia de empréstimo é determinado. Os resultados sugerem que os spreads das syndicated loans estudadas são determinados de forma diferente. A estrutura temporal encontrada para os fixed asset based loans é quadrática com concavidade voltada para cima, enquanto que para os general corporate purpose loans, a estrutura temporal encontrada é linear e positiva. Testou-se também a potencial endogeneidade da variável maturidade nos dois tipos de syndicated loans, implementando-se uma regressão de variáveis instrumentais pelo método GMM para o tipo de empréstimos onde foi encontrado problemas de endogeneidade: general corporate purpose loans. Concluiu-se que com a crise financeira de 2007/2008, a estrutura temporal dos spreads não se altera em nenhuma das duas tipologias de empréstimos estudados.
The present thesis focusses on the correlation between spread and maturity for two types of syndicated loans: Fixed Asset Based Loans and General Corporate Purpose Loans. In the first place, we examine if the spread of the two different types of syndicated loans studied is calculated in a similar way; i.e., if there are any differences in the way how the spread of each loan typology is determined. The results suggest that spreads of the two types of syndicated loans studied are determined differently by common pricing factors. The term structure found for fixed asset-based loans is quadratic with the concavity turned up, whereas for the general corporate purpose loans, the term structured found is linear and positive. One also tested the potential endogeneity of the variable maturity in the two types of syndicated loans, by implementing a regression of instrumental variables through the GMM method, for the type of syndicated loans affected: the general corporate purpose loans. We can conclude that the 2007-2008 financial crisis does not impact the term structure of the loans studied.
The present thesis focusses on the correlation between spread and maturity for two types of syndicated loans: Fixed Asset Based Loans and General Corporate Purpose Loans. In the first place, we examine if the spread of the two different types of syndicated loans studied is calculated in a similar way; i.e., if there are any differences in the way how the spread of each loan typology is determined. The results suggest that spreads of the two types of syndicated loans studied are determined differently by common pricing factors. The term structure found for fixed asset-based loans is quadratic with the concavity turned up, whereas for the general corporate purpose loans, the term structured found is linear and positive. One also tested the potential endogeneity of the variable maturity in the two types of syndicated loans, by implementing a regression of instrumental variables through the GMM method, for the type of syndicated loans affected: the general corporate purpose loans. We can conclude that the 2007-2008 financial crisis does not impact the term structure of the loans studied.
Descrição
Palavras-chave
Estrutura temporal Spread Syndicated loans Project finance Endogeneidade Maturidade Term structure Endogeneity Maturity