A estrutura temporal dos spreads de crédito em empréstimos sindicados

: o caso dos fixed asset based loans e dos general corporate purpose loans

Abstract

The present thesis focusses on the correlation between spread and maturity for two types of syndicated loans: Fixed Asset Based Loans and General Corporate Purpose Loans. In the first place, we examine if the spread of the two different types of syndicated loans studied is calculated in a similar way; i.e., if there are any differences in the way how the spread of each loan typology is determined. The results suggest that spreads of the two types of syndicated loans studied are determined differently by common pricing factors. The term structure found for fixed asset-based loans is quadratic with the concavity turned up, whereas for the general corporate purpose loans, the term structured found is linear and positive. One also tested the potential endogeneity of the variable maturity in the two types of syndicated loans, by implementing a regression of instrumental variables through the GMM method, for the type of syndicated loans affected: the general corporate purpose loans. We can conclude that the 2007-2008 financial crisis does not impact the term structure of the loans studied.

Date of Award	10 Jul 2017
Original language	Portuguese
Awarding Institution	Universidade Católica Portuguesa
Supervisor	João Pinto (Supervisor) & Ricardo Ribeiro (Co-Supervisor)