Utilize este identificador para referenciar este registo: http://hdl.handle.net/10362/15345
Título: Credit default swap (CDS) prediction model & trading strategy
Autor: Dutra, Tiago Mota
Orientador: Pereira, João Pedro
Palavras-chave: Credit default swap
Econometric prediction model
Quantile regression
Trading strategy
Data de Defesa: Jan-2015
Resumo: This project focuses on the study of different explanatory models for the behavior of CDS security, such as Fixed-Effect Model, GLS Random-Effect Model, Pooled OLS and Quantile Regression Model. After determining the best fitness model, trading strategies with long and short positions in CDS have been developed. Due to some specifications of CDS, I conclude that the quantile regression is the most efficient model to estimate the data. The P&L and Sharpe Ratio of the strategy are analyzed using a backtesting analogy, where I conclude that, mainly for non-financial companies, the model allows traders to take advantage of and profit from arbitrages.
URI: http://hdl.handle.net/10362/15345
Designação: 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
Aparece nas colecções:NSBE: Nova SBE - MA Dissertations

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