Publicação
Cross sectional default probabilities in European corporate bonds
| datacite.subject.fos | Ciências Sociais::Economia e Gestão | pt_PT |
| dc.contributor.advisor | Eça, Afonso Fuzeta | |
| dc.contributor.author | Almeida, Leonor Silva de | |
| dc.date.accessioned | 2015-10-26T16:03:07Z | |
| dc.date.available | 2015-10-26T16:03:07Z | |
| dc.date.issued | 2015-06 | |
| dc.description | A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from Nova School of Business and Economics | en |
| dc.description.abstract | 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. | pt_PT |
| dc.identifier.tid | 201473020 | |
| dc.identifier.uri | http://hdl.handle.net/10362/15683 | |
| dc.language.iso | eng | pt_PT |
| dc.title | Cross sectional default probabilities in European corporate bonds | pt_PT |
| dc.type | master thesis | |
| dspace.entity.type | Publication | |
| rcaap.rights | openAccess | pt_PT |
| rcaap.type | masterThesis | pt_PT |
| thesis.degree.name | A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economics | pt_PT |