Eça, Afonso FuzetaAlmeida, Leonor Silva de2015-10-262015-10-262015-06http://hdl.handle.net/10362/15683This 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.engmaster thesis201473020