Learning Centre

Free Lunches in European Sovereign CDS and Bond Market

 |  Login

Show simple item record

dc.contributor Aalto University en
dc.contributor Aalto-yliopisto fi
dc.contributor.advisor Kokkonen, Joni
dc.contributor.author Aalto, Juho
dc.date.accessioned 2023-01-22T17:04:49Z
dc.date.available 2023-01-22T17:04:49Z
dc.date.issued 2022
dc.identifier.uri https://aaltodoc.aalto.fi/handle/123456789/119059
dc.description.abstract This thesis empirically analyses the CDS basis in the euro area during 21.12.2007 – 18.10.2022. The goal is to evaluate if it has been possible to implement CDS basis arbitrage during the research period. Utilization of the CDS basis arbitrage is possible when there is an error in pricing the credit spread or CDS spread of a particular entity. I conduct average figures calculation to sample countries and pooled cross-sectional multiple regression analyses. First, I find evidence that the CDS basis has significant outliers’ values in certain countries during the euro crisis. After 2015 CDS basis has been, on average, negative in almost all sample countries. Secondly, I find evidence that CDS basis absolute values tend to be bigger when credit rating approaches non-investment grade levels. Thirdly my evidence suggests that stock index returns, level of TED spread, and volatility changes can create deviations from parity in the short term. fi
dc.format.extent 40
dc.format.mimetype application/pdf en
dc.language.iso fi en
dc.title Free Lunches in European Sovereign CDS and Bond Market fi
dc.title Free Lunches in European Sovereign CDS and Bond Market en
dc.type G1 Kandidaatintyö fi
dc.contributor.school Kauppakorkeakoulu fi
dc.contributor.school School of Business en
dc.contributor.department Rahoituksen laitos fi
dc.subject.keyword CDS Basis fi
dc.subject.keyword Credit Default Swap fi
dc.subject.keyword Credit Spread fi
dc.subject.keyword Credit Rating fi
dc.identifier.urn URN:NBN:fi:aalto-202301221413
dc.type.ontasot Bachelor's thesis en
dc.type.ontasot Kandidaatintyö fi
dc.programme Rahoitus en

Files in this item

This item appears in the following Collection(s)

Show simple item record

Search archive

Advanced Search

article-iconSubmit a publication