This thesis focuses in the relationship of spread and maturity for three types of syndicated loans, Project Finance loans, Capital Structure loans and Corporate Control loans, we first look at the characteristics of the different types of loans in analysis and compare them to see if there are significant differences between them. We find PF loan type have different term structure of credit spreads, we suggest a negative hump-shaped term structure of credit spreads in project finance loans. Regarding Capital Structure and Corporate Control loans we find a positive hump-shaped term structure. We also test for potential endogeneity in all syndicated loans, and employ an instrumental variable regression using the GMM method to correct this problem for the type of syndicated loans affected.
Date of Award | 28 Nov 2016 |
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Original language | English |
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Awarding Institution | - Universidade Católica Portuguesa
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Supervisor | João Pinto (Supervisor) & Ricardo Ribeiro (Co-Supervisor) |
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- Term structure
- Credit spreads
- Syndicated loans
- Project finance
- Endogeneity
- Maturity
The term structure of credit spreads in syndicated loans: a comparative analysis between corporate control, capital structure and project finance loans
Coelho, J. P. F. (Student). 28 Nov 2016
Student thesis: Master's Thesis