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Contribution Details
| Type | Bachelor's Thesis |
| Scope | Discipline-based scholarship |
| Title | The liquidity of CDS in comparison to the liquidity of stocks during the financial crisis: An application with respect to financial institutions. |
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| Institution | University of Zurich |
| Faculty | Faculty of Economics, Business Administration and Information Technology |
| Number of Pages | 40 |
| Date | 2013 |
| Abstract Text | This paper begins with the description of general characteristics of Credit Default Swaps. Studying the opaque OTC market leads to the analysis of the case of AIG and its contribution to the financial crisis. Accordingly, we examine the current developments and changes in the world of CDS. Furthermore, liquidity is in focus of an empirical analysis through the examination of CDS bid-ask-spreads and volume data, which is compared with the liquidity of corresponding stocks. We find reduced liquidity during 2007 and 2008 in stocks and CDS market as well as a negative correlation of the liquidity by comparing different proxies. |
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