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Advisor(s)
Abstract(s)
Este trabalho, realizado no âmbito do mestrado de finanças, na modalidade de dissertação, vai procurar demonstrar e estudar o comportamento do mercado dos Credit Default Swaps em processos de reestruturação de dívida. Para o efeito, foi escolhido o estudo de caso de Chipre, o exemplo mais recente de intervenção financeira por parte da União Europeia. O conceito principal desta dissertação é o de Credit Default Swaps, um instrumento financeiro que funciona como um seguro. Ou seja, fornece ao seu portador um seguro contra o risco de falência de uma empresa ou país. Para a investigação do estudo de caso presente neste trabalho, foi realizada uma elevada pesquisa de peças jornalísticas e outros estudos que permitiram descortinar tudo o que aconteceu no país antes e depois do evento mais importante dos últimos anos: o bail-in imposto pela Troika. Através de uma análise do mercado de CDS de Chipre antes e depois do chamado Black Saturday, será possível afirmar que, passado três meses, o acordo implementado veio piorar a situação do país, no que diz respeito ao seu risco de falência. Por ultimo, foi feito um modelo econométrico que clarifica que aquilo que ocorre no mercado de CDS grego contagia, consequentemente, o mercado de Chipre.
This work, developed under the master’s degree of finance, in the form of dissertation, will seek to demonstrate and study the behaviour of the market of Credit Default Swaps on debt restructuring procedures. For this purpose, the case study of Cyprus, the latest example of financial assistance from the European Union, was chosen. The main concept of this paper is the Credit Default Swaps, a financial instrument that works like an insurance. Namely give to its holder an insurance against the risk of bankruptcy of a company or country. For the investigation of the case study, present in this work, it was made a large research of journalistic articles and other studies that unveil everything hat happened in the country before and after the most important event of recent years: the bail-in imposed by Troika. Through an analysis of the CDS market in Cyprus before and after the so-called Black Friday, it can be said that passed three months, the implemented agreement only came to worsen the situation in the country, regarding it’s bankruptcy risk. Finally, it was made an econometric model that clarifies that, what occurs in Grecee is currently affecting the Cyprus CDS market.
This work, developed under the master’s degree of finance, in the form of dissertation, will seek to demonstrate and study the behaviour of the market of Credit Default Swaps on debt restructuring procedures. For this purpose, the case study of Cyprus, the latest example of financial assistance from the European Union, was chosen. The main concept of this paper is the Credit Default Swaps, a financial instrument that works like an insurance. Namely give to its holder an insurance against the risk of bankruptcy of a company or country. For the investigation of the case study, present in this work, it was made a large research of journalistic articles and other studies that unveil everything hat happened in the country before and after the most important event of recent years: the bail-in imposed by Troika. Through an analysis of the CDS market in Cyprus before and after the so-called Black Friday, it can be said that passed three months, the implemented agreement only came to worsen the situation in the country, regarding it’s bankruptcy risk. Finally, it was made an econometric model that clarifies that, what occurs in Grecee is currently affecting the Cyprus CDS market.
Description
Keywords
Credit default swaps Risco de dívida soberana Reestruturação de dívida Bail-in Sovereign debt risk Debt restructuring