碩士 / 臺灣大學 / 財務金融學研究所 / 98 / In 2008, when the financial tsunami occurred, borrowing costs raised and the counterparty of credit default swap defaulted eroded the profit of basis trade, investors of basis trading strategy were forced to close their position. Facing poor market liquidity and falling price of bond market, investors suffered greater losses. After the financial tsunami, credit default swap contracts were restructured. I re-examine the basis trading strategy, observing the impact of differences between old and new system of credit default swap, and analyze the sensitivity of basis trade influenced by factors. This article focuses on investors’ basis trade profits and their incentives changed by new credit default swap, proposing a new way to customize the credit default swap contracts for investors. Finally, this paper brings the innovative thinking and states risks of basis trade.
| Identifer | oai:union.ndltd.org:TW/098NTU05304023 |
| Date | January 2010 |
| Creators | Yen-Ling Cho, 卓延玲 |
| Contributors | 李賢源 |
| Source Sets | National Digital Library of Theses and Dissertations in Taiwan |
| Language | zh-TW |
| Detected Language | English |
| Type | 學位論文 ; thesis |
| Format | 66 |
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