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 Award | 6 Jul 2016 |
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Original language | Portuguese |
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Awarding Institution | - Universidade Católica Portuguesa
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Supervisor | Carlos Santos (Supervisor) |
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- Interest rates term structure
- CDS spreads term structure
- Euro crisis
Estrutura temporal dos spreads dos CDS : modernização e análise
Peixoto, M. S. (Student). 6 Jul 2016
Student thesis: Master's Thesis