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Contribution Details
| Type | Bachelor's Thesis |
| Scope | Discipline-based scholarship |
| Title | Die Bedeutung von Credit Default Swaps in der Finanzkrise |
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| Institution | University of Zurich |
| Faculty | Faculty of Economics, Business Administration and Information Technology |
| Number of Pages | 56 |
| Date | 2009 |
| Abstract Text | This work analyzes the role of credit default swaps (CDSs) during the global financial crisis. It discusses their implied contribution to the turmoil and assesses recent regulatory propositions. Furthermore, the usability of CDS for anticipating credit events throughout the crisis is compared with ratings, bonds and stocks. Results show that on average ratings lag behind entity failure events by at least two days. In contrast, all market-based indicators reflect the increased hazard prior to such events. In addition, the research suggests that the stock and CDS markets clearly lead the bond market, while no clear leadership between stocks and CDS was found. |
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