The sovereign CDS-Bond basis: from a crisis perspective
Autor(a) principal: | |
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Data de Publicação: | 2012 |
Tipo de documento: | Dissertação |
Idioma: | eng |
Título da fonte: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
Texto Completo: | http://hdl.handle.net/10362/9564 |
Resumo: | A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economics |
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The sovereign CDS-Bond basis: from a crisis perspectiveSovereign CDS-bond basisRating downgradesFinancial sectorLiquidityA Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and EconomicsThis work studies the determinants of the sovereign CDS-bond basis distortions, in the Euro area, during the last crises period. Regression analysis showed four relevant conclusions. Credit rating and credit outlook downgrades have a huge impact on the sovereign credit instruments premiums, although not originating arbitrage opportunities. Moreover, the ECB rate has a smoother effect on the sovereign debt markets’ functioning and the risk-transfer balance between the state and the financial sector seems to have shifted from one crisis period to the other. Finally, markets’ liquidity is the most powerful force in driving arbitrage opportunities in the sovereign debt market.NSBE - UNLLameira, PedroRUNPereira, Sara Maria Vinhas Maia2013-05-10T11:49:39Z2012-012012-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10362/9564enginfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-03-11T03:42:44Zoai:run.unl.pt:10362/9564Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T03:18:54.094894Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse |
dc.title.none.fl_str_mv |
The sovereign CDS-Bond basis: from a crisis perspective |
title |
The sovereign CDS-Bond basis: from a crisis perspective |
spellingShingle |
The sovereign CDS-Bond basis: from a crisis perspective Pereira, Sara Maria Vinhas Maia Sovereign CDS-bond basis Rating downgrades Financial sector Liquidity |
title_short |
The sovereign CDS-Bond basis: from a crisis perspective |
title_full |
The sovereign CDS-Bond basis: from a crisis perspective |
title_fullStr |
The sovereign CDS-Bond basis: from a crisis perspective |
title_full_unstemmed |
The sovereign CDS-Bond basis: from a crisis perspective |
title_sort |
The sovereign CDS-Bond basis: from a crisis perspective |
author |
Pereira, Sara Maria Vinhas Maia |
author_facet |
Pereira, Sara Maria Vinhas Maia |
author_role |
author |
dc.contributor.none.fl_str_mv |
Lameira, Pedro RUN |
dc.contributor.author.fl_str_mv |
Pereira, Sara Maria Vinhas Maia |
dc.subject.por.fl_str_mv |
Sovereign CDS-bond basis Rating downgrades Financial sector Liquidity |
topic |
Sovereign CDS-bond basis Rating downgrades Financial sector Liquidity |
description |
A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economics |
publishDate |
2012 |
dc.date.none.fl_str_mv |
2012-01 2012-01-01T00:00:00Z 2013-05-10T11:49:39Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/masterThesis |
format |
masterThesis |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10362/9564 |
url |
http://hdl.handle.net/10362/9564 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf |
dc.publisher.none.fl_str_mv |
NSBE - UNL |
publisher.none.fl_str_mv |
NSBE - UNL |
dc.source.none.fl_str_mv |
reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação instacron:RCAAP |
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Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
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RCAAP |
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RCAAP |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
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1799137833374449664 |