Utilize este identificador para referenciar este registo: http://hdl.handle.net/10362/15683
Título: Cross sectional default probabilities in european corporate bonds
Autor: Almeida, Leonor
Orientador: Eça, Afonso
Data de Defesa: Jun-2015
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.
URI: http://hdl.handle.net/10362/15683
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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