The dissertation is composed of three empirical research papers analyzing the development on credit derivatives markets in recent years characterized by the global financial crisis in 2007- 2009 and subsequent European sovereign debt crisis. The basic motivation of the thesis is to contribute to the clarification of the turbulent development on credit derivatives markets. The first paper addresses main flaws of a collateralized debt obligation (CDO) market during the global financial crisis. The second paper examines the impact of the Greek debt crisis on sovereign credit default swap (CDS) reliability. The third paper analyzes whether a resulting change in CDS terms restored confidence in CDS contracts. An introductory chapter presents a common framework for the three papers. In the first paper, we examine valuation of a Collateralized Debt Obligation (CDO) in 2007- 2009. One Factor Gaussian Copula Model is presented and five hypotheses regarding CDO sensitivity to entry parameters are analyzed. Four main deficiencies of the CDO market are then articulated: i) an insufficient analysis of underlying assets by both investors and rating agencies; ii) investment decisions arising from the valuation model based on expected cash-flows and neglecting other factors such as mark-to-market losses; iii)...
| Identifer | oai:union.ndltd.org:nusl.cz/oai:invenio.nusl.cz:388860 |
| Date | January 2018 |
| Creators | Buzková, Petra |
| Contributors | Teplý, Petr, Tripe, David, Witzany, Jiří, Dědek, Oldřich |
| Source Sets | Czech ETDs |
| Language | English |
| Detected Language | English |
| Type | info:eu-repo/semantics/doctoralThesis |
| Rights | info:eu-repo/semantics/restrictedAccess |
Page generated in 0.0018 seconds