Financial Determinants of The Return and Risk for Asian Sovereign Credit Default Swaps
碩士 === 國立成功大學 === 財務金融研究所在職專班 === 101 === After the release of Credit Derivatives in 1992, the credit derivatives market has been growing rapidly and among which Credit Default Swap(CDS) is one of the most popular products. CDS are widely used to transfer the credit risk in all kinds of financial as...
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ndltd-TW-101NCKU53040372016-03-18T04:42:17Z http://ndltd.ncl.edu.tw/handle/72003483233833415691 Financial Determinants of The Return and Risk for Asian Sovereign Credit Default Swaps 影響亞洲主權債信用違約交換報酬率及風險之金融因素 Tsai-ChuanHsu 徐綵涓 碩士 國立成功大學 財務金融研究所在職專班 101 After the release of Credit Derivatives in 1992, the credit derivatives market has been growing rapidly and among which Credit Default Swap(CDS) is one of the most popular products. CDS are widely used to transfer the credit risk in all kinds of financial assets, especially as speculative instruments. As the U.S. subprimemortgage crisis and European sovereign debt crisis erupted, the role played by CDS has been emphasized even further than ever. The literature in the past usually stressed on sovereign debt spreads or sovereign credit ratings, this paper emphasizes the risk and return of sovereign CDS. With the sample of six Asian markets, we use GARCH models to find the financial determinants of the return and risk for Asian sovereign CDS. Our results show that the most influential financial determinants are stock index and Greece-Germany CDS spread. It means that when a country is considered a positive overview, both stock index and sovereign CDS will reflect this situation, and when European debt crisis becomes more serious, the risk aversion of Asian sovereign debt will increase. In the case of the remaining variables, they play the different roles and are not exclusively determinants in different countries and lagged. As for loan-deposit Spread of prime bank in the country, it is not aneminent determinant for the return and risk of Asian sovereign CDS, shows that quantitative easing or tight monetary policy will not affect the perception of the risk of sovereign debt in a country. Alan T Wang 王澤世 2013 學位論文 ; thesis 54 zh-TW |
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碩士 === 國立成功大學 === 財務金融研究所在職專班 === 101 === After the release of Credit Derivatives in 1992, the credit derivatives market has been growing rapidly and among which Credit Default Swap(CDS) is one of the most popular products. CDS are widely used to transfer the credit risk in all kinds of financial assets, especially as speculative instruments. As the U.S. subprimemortgage crisis and European sovereign debt crisis erupted, the role played by CDS has been emphasized even further than ever.
The literature in the past usually stressed on sovereign debt spreads or sovereign credit ratings, this paper emphasizes the risk and return of sovereign CDS. With the sample of six Asian markets, we use GARCH models to find the financial determinants of the return and risk for Asian sovereign CDS. Our results show that the most influential financial determinants are stock index and Greece-Germany CDS spread. It means that when a country is considered a positive overview, both stock index and sovereign CDS will reflect this situation, and when European debt crisis becomes more serious, the risk aversion of Asian sovereign debt will increase. In the case of the remaining variables, they play the different roles and are not exclusively determinants in different countries and lagged. As for loan-deposit Spread of prime bank in the country, it is not aneminent determinant for the return and risk of Asian sovereign CDS, shows that quantitative easing or tight monetary policy will not affect the perception of the risk of sovereign debt in a country.
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Alan T Wang |
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Alan T Wang Tsai-ChuanHsu 徐綵涓 |
author |
Tsai-ChuanHsu 徐綵涓 |
spellingShingle |
Tsai-ChuanHsu 徐綵涓 Financial Determinants of The Return and Risk for Asian Sovereign Credit Default Swaps |
author_sort |
Tsai-ChuanHsu |
title |
Financial Determinants of The Return and Risk for Asian Sovereign Credit Default Swaps |
title_short |
Financial Determinants of The Return and Risk for Asian Sovereign Credit Default Swaps |
title_full |
Financial Determinants of The Return and Risk for Asian Sovereign Credit Default Swaps |
title_fullStr |
Financial Determinants of The Return and Risk for Asian Sovereign Credit Default Swaps |
title_full_unstemmed |
Financial Determinants of The Return and Risk for Asian Sovereign Credit Default Swaps |
title_sort |
financial determinants of the return and risk for asian sovereign credit default swaps |
publishDate |
2013 |
url |
http://ndltd.ncl.edu.tw/handle/72003483233833415691 |
work_keys_str_mv |
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