Cross sectional default probabilities in european corporate bonds
Contribuinte(s) |
Eça, Afonso |
---|---|
Data(s) |
26/10/2015
26/10/2015
01/06/2015
|
Resumo |
This study attempts to identify basis-trading opportunities in the European banking sector by comparing two different measures for the market’s assessment of risk: market-observed CDS spreads and model-implied Z-spreads. Using a sample of 10 banks, over a period of 3 years following the European banking crisis, it can be concluded that there were arbitrage opportunities in the sector, as evidenced by the derived negative bases. |
Identificador |
http://hdl.handle.net/10362/15683 201473020 |
Idioma(s) |
eng |
Direitos |
openAccess |
Palavras-Chave | #Domínio/Área Científica::Ciências Sociais::Economia e Gestão |
Tipo |
masterThesis |