Utilize este identificador para referenciar este registo: http://hdl.handle.net/10400.14/17360
Título: The basis determinants : the european case
Autor: Dias, Nuno Miguel
Orientador: Cadete, Joaquim
Data de Defesa: 3-Jun-2013
Resumo: With subprime mortgage crisis, Lehman Brothers Holdings Inc. bankruptcy and European government credit crisis, the CDS market assisted to a generalized turmoil, contributing for a decrease of CDS market in more than 50% in less than 3 years. This dissertation focuses on testing possible determinants of the basis spread for several European companies, analysing data between June 18 2008 and December 31 2012. All financial information and data used in this thesis was gathered from Bloomberg. Literature on single-name credit modelling and valuing credit derivatives is revised and applied to calculate the basis, with special focus on estimating hazard rates, where we used the optimization method instead of the generally used bootstrap method. We than, followed Zhu work and analysed the proposed determinants for the basis, updating his work by introducing two new variables as potential determinants of the basis: the CDS Big Bang and the Lehman Brothers bailout. Finally, we have found some evidence that efforts to standardize and regulate the credit derivative contracts, the CDS Big Bang has contributed to mitigate part of the counterpart risk, and that have also been reflected on the CDS-ASW basis.
URI: http://hdl.handle.net/10400.14/17360
Aparece nas colecções:FCEE - Dissertações de Mestrado / Master Dissertations
R - Dissertações de Mestrado / Master Dissertations

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