Why credit risk is priced differently in the bond and CDS spreads during a period of crisis: an empirical analysis of euro area during the Covid-19 pandemic
Loreti, Lorenzo (A.A. 2020/2021) Why credit risk is priced differently in the bond and CDS spreads during a period of crisis: an empirical analysis of euro area during the Covid-19 pandemic. Tesi di Laurea in Asset pricing, Luiss Guido Carli, relatore Nicola Borri, pp. 41. [Master's Degree Thesis]
Full text for this thesis not available from the repository.
Abstract/Index
Related literature. Price discovery of credit risk. Bond yields and diversification of credit risk. The relation between CDS and bond spreads. The swap rate as choice for the risk-free rate. The CDS and bond spreads during Covid-19 period. The basis. The cointegration relation between CDS and bond spreads. VAR model for Belgium. The Gonzalo and Granger’s VECM model. Determinants of the basis. OLS estimator in case of heteroskedasticity. The regression model. The expected impact of the variables on the basis. The results of the regression model. Diagnostic tests.
References
Bibliografia: pp. 40-41.
| Thesis Type: | Master's Degree Thesis |
|---|---|
| Institution: | Luiss Guido Carli |
| Degree Program: | Master's Degree Programs > Master's Degree Program in Economics and Finance (LM-56) |
| Chair: | Asset pricing |
| Thesis Supervisor: | Borri, Nicola |
| Thesis Co-Supervisor: | Reichlin, Pietro |
| Academic Year: | 2020/2021 |
| Session: | Summer |
| Deposited by: | Alessandro Perfetti |
| Date Deposited: | 14 Mar 2022 15:45 |
| Last Modified: | 14 Mar 2022 15:45 |
| URI: | https://tesi.luiss.it/id/eprint/31702 |
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