CDS bancários, bail-in e proteção obrigacionista

Abstract

Entitled Credit Default Swap, Bail-in e Obrigação Protecionista, this dissertation aims to elucidate the reader about (i) the relevant financial instruments to be implemented in case of financial institutions default, (ii) the connection of these instruments with the sovereign debt inside the Eurozone and (iii) the implications of the ISDA 2014 rules relative to bail-ins. Through a Eurozone credit default swap índex (iTraxx) sample within the time period of 2009 to 2015, we tested these implications by using the autoregressive vector models (VAR) that test the performance of Granger causality. This thesis concludes that: (i) prior the ISDA 2014 rules of bail-ins there was a sovereign and financial interdependence; and (ii) after its inclusion there was a reduction of bond risk with the presence of bail-ins in CDSs – which translates into a possible dependence reduction between bank and sovereign risk.

Date of Award	6 Jul 2016
Original language	Portuguese
Awarding Institution	Universidade Católica Portuguesa
Supervisor	Carlos Manuel Ferreira dos Santos (Supervisor)