Estrutura temporal dos spreads dos CDS
: modernização e análise

  • Mariana Soares Peixoto (Student)

Student thesis: Master's Thesis

Abstract

This paper aims to analyse and model the term structure inversion of the CDS spreads, in order to realize if the impact of CDS spreads reveal hump-shaped directions. Hence, to answer our question, we used econometric models; in concrete we use the ADL (Autoregressive Distributed Lag) model to investigate the spreads on CDS. We conclude that the spreads can have contradictory in times of crisis and thus ADL models are a good dynamic approach to spreads in these periods.
Date of Award6 Jul 2016
Original languagePortuguese
Awarding Institution
  • Universidade Católica Portuguesa
SupervisorCarlos Santos (Supervisor)

Keywords

  • Interest rates term structure
  • CDS spreads term structure
  • Euro crisis

Designation

  • Mestrado em Finanças

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