Estrutura temporal dos spreads de crédito

  • Dina Margarida Alves Fernandes da Silva Boieiro (Student)

Student thesis: Master's Thesis

Abstract

The aim of this thesis is to investigate if the term structure of the sovereign CDS spreads of Spain, has suffered an inversion during the considered time period, as well as discovers the possible causes of that event. In the available literature, among the most documented causes for an inversion, were the risk of contagion between countries, which were suffering from financial distress, and specific risks of the country itself. For the empirical analysis we used models based on the ADL (Autoregressive Distributed Lags) methodology. The chosen sample consisted in daily series of Spain’s Sovereign CDS spreads with different maturities. We considered a time interval, which included both the beginning of the 2008 financial crisis and the subsequent sovereign debt crisis in Euro zone countries. With this analysis we were able to find a model that is a consistent representation of the term structure of CDS spreads for the considered time interval, through which, we could conclude that there was indeed an inversion in the term structure of the sovereign CDS spreads of Spain.
Date of Award6 Jul 2016
Original languagePortuguese
Awarding Institution
  • Universidade Católica Portuguesa
SupervisorCarlos Manuel Ferreira dos Santos (Supervisor)

Designation

  • Mestrado em Finanças

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