Utilize este identificador para referenciar este registo: http://hdl.handle.net/10400.14/15639
Título: Explaining arbitrage of CDS and Bond markets
Autor: Mishyn, Maksym Kostyantynovich
Orientador: Faias, José
Data de Defesa: 16-Abr-2014
Resumo: The focus of this paper is the theoretical arbitrage relationship between the Credit Default Swaps and Corporate Bonds. We find that the arbitrage relationship tends to be violated, creating short term opportunities for traders. Results of VECM suggest that the difference in price of credit risk persists over time. This violation is explained by three sets of factors: 1) firm-specific credit risk proxies, 2) bond and CDS liquidity and 3) overall market conditions. Variables gain more explanatory power during the last financial crisis.
URI: http://hdl.handle.net/10400.14/15639
Aparece nas colecções:FCEE - Dissertações de Mestrado / Master Dissertations
R - Dissertações de Mestrado / Master Dissertations

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