Comportamento do mercado de credit default swaps num contexto de reestruturação de dívida

: o caso de Chipre

Abstract

This work, developed under the master’s degree of finance, in the form of dissertation, will seek to demonstrate and study the behaviour of the market of Credit Default Swaps on debt restructuring procedures. For this purpose, the case study of Cyprus, the latest example of financial assistance from the European Union, was chosen. The main concept of this paper is the Credit Default Swaps, a financial instrument that works like an insurance. Namely give to its holder an insurance against the risk of bankruptcy of a company or country. For the investigation of the case study, present in this work, it was made a large research of journalistic articles and other studies that unveil everything hat happened in the country before and after the most important event of recent years: the bail-in imposed by Troika. Through an analysis of the CDS market in Cyprus before and after the so-called Black Friday, it can be said that passed three months, the implemented agreement only came to worsen the situation in the country, regarding it’s bankruptcy risk. Finally, it was made an econometric model that clarifies that, what occurs in Grecee is currently affecting the Cyprus CDS market.

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