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UM E-Theses Collection (澳門大學電子學位論文庫)

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Title

Variables affecting CDS spreads of financial institutions

English Abstract

Using the random effects panel data model, this thesis investigates the determinants of Credit Default Swap (CDS) spreads in the United States, China & Japan, Portugal & Greece, France, and Australia over the period from 2004 to 2011. The result suggests that both the return and risk variables are priced into the CDS spreads by the market in general. In addition, we find that CDS spreads are more affected by return-related variables before the crisis. After the crisis, risk-related variables play a more active role in determining the CDS spreads. Finally, the results show that the factors affecting the CDS spreads are different from country to country.

Issue date

2013.

Author

Kou, Chon Hong

Faculty

Faculty of Business Administration

Department

Department of Finance and Business Economics

Degree

M. Sc.

Subject

Financial institutions -- Management

Credit derivatives

Swaps (Finance)

Default (Finance)

Files In This Item

Full-text (Intranet only)

Location
1/F Zone C
Library URL
991008707639706306