The sovereign CDS-Bond basis: from a crisis perspective

Detalhes bibliográficos
Autor(a) principal: Pereira, Sara Maria Vinhas Maia
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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spelling 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
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
institution RCAAP
reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
repository.mail.fl_str_mv
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