1 resultado para cross-sector
em RUN (Repositório da Universidade Nova de Lisboa) - FCT (Faculdade de Cienecias e Technologia), Universidade Nova de Lisboa (UNL), Portugal
Relevância:
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.