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Credit market: products and pricing discrepancies
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| 997.35 KB | Adobe PDF |
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Orientador(es)
Resumo(s)
The current study pretends to concede the lector a general overview about credit markets and the available products and strategies.
Start by an explanation of Credit Default Swaps because are
used in a wide range of products evolving credit derivatives. As a tool to measure credit relative risk on single name entities are also important for the fixed income investor.
Currently there is a situation of enormous volatility in credit markets that I tried to transpose into this paper. I took a look on rating downgrades of structured products. There are the specification
of methods and strategies to enter in arbitrage trades evolving credit products.
Descrição
A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the Faculdade de Economia da Universidade Nova de Lisboa
Palavras-chave
Credit derivative Credit indexes CDS spread basis