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Pricing of bonds and credit default swaps: Evidence from a panel of European companies
Název práce v češtině:
Název v anglickém jazyce: Pricing of bonds and credit default swaps:
Evidence from a panel of European companies
Klíčová slova: Dluhopisy, Swapy úvěrového selhání (CDS), Evropa, Panelová regrese, Podskupiny
Klíčová slova anglicky: Bonds, Credit Default Swaps, Europe, Panel Regression, Subsampling
Akademický rok vypsání: 2015/2016
Typ práce: diplomová práce
Jazyk práce: angličtina
Ústav: Institut ekonomických studií (23-IES)
Vedoucí / školitel: doc. PhDr. Jozef Baruník, Ph.D.
Řešitel: skrytý - zadáno a potvrzeno stud. odd.
Datum přihlášení: 29.10.2015
Datum zadání: 30.10.2015
Datum a čas obhajoby: 22.06.2016 10:00
Místo konání obhajoby: IES
Datum odevzdání elektronické podoby:12.05.2016
Datum proběhlé obhajoby: 22.06.2016
Oponenti: Mgr. Barbora Gregor
 
 
 
Kontrola URKUND:
Seznam odborné literatury
Akdogu, S. K. (2012). CDS, bond spread and sovereign debt crisis in peripheral EU.
Blanco, R., Brennan, S., & Marsh, I. W. (2005). An empirical analysis of the dynamic relationship between investment-grade bonds and credit default swaps. Working Paper no. 211.
Carboni, A. (2011, September). The sovereign credit default swap market: price discovery, volumes and links with banks' risk premia. Working papers(No 821).
Ericsson, J., Jacobs, K., & Oviedo, R. (2005, January). The Determinants of Credit Deafault Swap Premia.
Fontana, A., & Scheicher, M. (2010, December). An analysis of Euro Area sovereign CDS and their relation with government bonds. (No 1271).
Hull, J., Predescu, M., & White, A. (2004). The relationship between credit default swap spreads, bond yields, and credit rating announcements.
Longstaff, F. A., Pan, J., Pedersen, L. H., & J., S. K. (2011). How sovereign is sovereign credit risk?
Man, K., Wang, J., & Wu, C. (2014, March 5). What Drive the CDS Basis in the Credit Market?
Předběžná náplň práce
The CDS market, as well as its link to bond market, has recently been in the center of attention by researchers, especially in connection with the recent European sovereign debt crisis. For instance, Fontana & Scheicher (2010) studied the relative pricing of euro area sovereign CDS (CDS of euro area banks) and the underlying government bonds over the period 2006-2010. Carboni (2011) examines the relation of the CDS and bonds market over the crisis period, focusing on the price discovery process. Blanco et al. (2005) studies determinants of CDS and credit spreads, employing macroeconomic and firm-specific variables in their models. Longstaff et al. (2011) analyses the nature of sovereign credit risk using CDS data for a set of developed and less developed countries. Finally, Man et al. (2014) investigated the role of non-default factors on the CDS basis.

The previous literature focused mainly on the pre-crisis and crisis period and on estimating the CDS basis, i.e. the difference between CDS and bond spreads. I would like to contribute to the previous research by concentrating on the most recent period to examine how the bond and CDS markets are influenced by economic occurrences of recent years, such as the Greek or Euro Zone crisis.

I would first compare the determinants of CDS spreads and bond spreads in the European market and study their differences. Subsequently, I will investigate the no-arbitrage condition, which arises from the theoretical CDS-bond spreads pricing relationship. The analysis will consist of a determination of factors that drive pricing differences between the two markets.

In addition, I will examine the extent to which the pricing differs for different groups of companies. These groups will be created based on various criteria, such as financial indicators, geographic location or type of industry.

Finally, I would like to compare post-crisis development of the two markets relative to crisis and pre-crisis period, elaborating on results from previous research.
Předběžná náplň práce v anglickém jazyce
The CDS market, as well as its link to bond market, has recently been in the center of attention by researchers, especially in connection with the recent European sovereign debt crisis. For instance, Fontana & Scheicher (2010) studied the relative pricing of euro area sovereign CDS (CDS of euro area banks) and the underlying government bonds over the period 2006-2010. Carboni (2011) examines the relation of the CDS and bonds market over the crisis period, focusing on the price discovery process. Blanco et al. (2005) studies determinants of CDS and credit spreads, employing macroeconomic and firm-specific variables in their models. Longstaff et al. (2011) analyses the nature of sovereign credit risk using CDS data for a set of developed and less developed countries. Finally, Man et al. (2014) investigated the role of non-default factors on the CDS basis.

The previous literature focused mainly on the pre-crisis and crisis period and on estimating the CDS basis, i.e. the difference between CDS and bond spreads. I would like to contribute to the previous research by concentrating on the most recent period to examine how the bond and CDS markets are influenced by economic occurrences of recent years, such as the Greek or Euro Zone crisis.

I would first compare the determinants of CDS spreads and bond spreads in the European market and study their differences. Subsequently, I will investigate the no-arbitrage condition, which arises from the theoretical CDS-bond spreads pricing relationship. The analysis will consist of a determination of factors that drive pricing differences between the two markets.

In addition, I will examine the extent to which the pricing differs for different groups of companies. These groups will be created based on various criteria, such as financial indicators, geographic location or type of industry.

Finally, I would like to compare post-crisis development of the two markets relative to crisis and pre-crisis period, elaborating on results from previous research.
 
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