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Three essays on credit derivatives and liquidity

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2012-05
Defense date
2012-06-14
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This thesis consists of three empirical essays on pricing credit derivatives and the impact of liquidity on the prices of credit derivatives. In essay one, I investigate empirically the pricing of Collateralized Debt Obligations (CDO) within the framework of copula models. In essay two I analyze the impact of illiquidity on Credit Default Swap (CDS) spreads on an individual level. In essay three I analyze the effect of market wide illiquidity on portfolio CDS spreads on an aggregate level. Overall, I contribute to the existing literature by proving evidence on the importance of liquidity on CDS spreads on both individual and aggregate level.---------------------------Esta tesis consiste de tres ensayos empíricos sobre la valoración de derivados de crédito y sobre el efecto de la iliquidez sobre los precios de estos derivados. En el primer ensayo, se analiza empiricamente la valoración de obligaciones de deuda colateralizada (CDO) utilizando funciones de cópulas. En el segundo ensayo se analiza el impacto de la falta de liquidez sobre los Credit Default Swap (CDS) a nivel individual. En el tercer ensayo, se analiza el impacto de iliquidez agregada sobre los spreads de carteras de CDS agregadas. En general, esta tesis contribuye a la literatura existente, enfatizando la importancia de la liquidez en los spreads de CDS, tanto a nivel individual como agregado.
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Credit derivatives, Pricing, Liquidity, Collateralized Debt Obligations, CDO, Credit Default Swap, CDS
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