A decomposição do risco no mercado dos Credit Default Swaps

Abstract

In this paper we intend to decompose the risk in credit default swaps markets, in order to realize if the sovereign entities spread changes on the eurozone had only idiosyncratic factors behind, or whether there was contagion among countries. Based on the available literature several paths were designed, and many pointed toward the fact that exogenous factors influenced the spreads volatility. For the empiric analysis we use an econometric GARCH model with explanatory variables and based on the available data on sovereign CDS we estimate regressions that allow us to conclude that the increased risk in the CDS market for Germany and France, measured as the volatility of the spreads, was also explained by the transmission of peripheral countries risk like Portugal, Greece, Italy and Spain through contagion effects.

Date of Award	23 Jul 2014
Original language	Portuguese
Awarding Institution	Universidade Católica Portuguesa
Supervisor	Carlos Manuel Ferreira dos Santos (Supervisor)