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DC Field | Value | Language |
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dc.contributor.author | JAIN, RISHIBHA | - |
dc.date.accessioned | 2021-03-03T05:32:58Z | - |
dc.date.available | 2021-03-03T05:32:58Z | - |
dc.date.issued | 2020-07 | - |
dc.identifier.uri | http://dspace.dtu.ac.in:8080/jspui/handle/repository/18220 | - |
dc.description.abstract | Credit Default Swap is a financial c0ntract 0r derivative that all0ws an invest0r t0 swap credit risk with an0ther c0unterparty. Basically, it’s an insurance against n0n-payment. CDS is the simplest f0rm 0f credit derivative and has an impact 0n b0nd market as well as st0ck market. CDS had been in existence fr0m at least the early 1990s. As CDS were primarily used t0 hedge risk in c0nnecti0n with Bank’s lending services, therefore, banks were the d0minant players in the market. Banks als0 saw an 0pp0rtunity t0 free up regulat0ry capital. By March 1998, the gl0bal market f0r CDS was estimated at ab0ut $300 billi0n. The Invest0rs use Credit Default Swap f0r Speculati0n, Hedging, and Arbitraging. This study w0rks 0n the Effect 0f The0retical determinants 0f CDS in USA and Asia at firm level as well as macr0-ec0n0mic level. As compared to Asia, USA has a developed CDS Markit. CDS played a huge role in Financial Crisis of 2008 and Euro Sovereign Crisis 2012. Firm-level includes credit rating, leverage, R0E, Realised V0latility and Macr0-ec0n0mic level included inflati0n, implied v0latility, c0nsumer sentiments, Index Return, and Sh0rt-term interest rate. Cr0ss-secti0nal analysis 0f Determinants 0f CDS in USA and Asia using 0rdinary Least Square meth0d 0f regressi0n analysis. Lead-Lag relati0nship between CDS spread, Realised V0latility, and Equity Return f0r USA and Asia. | en_US |
dc.language.iso | en | en_US |
dc.relation.ispartofseries | TD-5121; | - |
dc.subject | CREDIT DEFAULT SWAP | en_US |
dc.subject | STOCK RETURN | en_US |
dc.subject | VOLATILITY | en_US |
dc.subject | CDS | en_US |
dc.title | DETERMINANTS CREDIT DEFAULT SWAP AND CO-MOVEMENT OF STOCK RETURN, REALISED VOLATILITY AND CDS IN USA AND ASIA | en_US |
dc.type | Thesis | en_US |
Appears in Collections: | MBA |
Files in This Item:
File | Description | Size | Format | |
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MBA Rishibha Jain.pdf | 534.21 kB | Adobe PDF | View/Open |
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