Utilize este identificador para referenciar este registo: http://hdl.handle.net/10362/15417
Título: Trading the differences in expectations between the CDS and bond markets
Autor: Madeira, João Pedro da Viega
Orientador: Eça, Afonso Fuzeta
Palavras-chave: European soverign debt crisis
Soverign credit risk
CDS arbitraging
Data de Defesa: Jan-2015
Resumo: This paper uses the framework developed by Vrugt (2010) to extract the recovery rate and term-structure of risk-neutral default probabilities implied in the cross-section of Portuguese sovereign bonds outstanding between March and August 2011. During this period the expectations on the recovery rate remain firmly anchored around 50 percent while the instantaneous default probability increases steadily from 6 to above 30 percent. These parameters are then used to calculate the fair-value of a 5-year and 10- year CDS contract. A credit-risk-neutral strategy is developed from the difference between the market price of a CDS of the same tenors and the fair-value calculated, yielding a sharpe ratio of 3.2
URI: http://hdl.handle.net/10362/15417
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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