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| Type | Master's Thesis |
| Scope | Discipline-based scholarship |
| Title | Liquidity of Syndicated Loans |
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| Institution | University of Zurich |
| Faculty | Faculty of Economics, Business Administration and Information Technology |
| Number of Pages | 46 |
| Date | 2016 |
| Abstract Text | This master thesis deals with the liquidity of syndicated loans. Both risk and reward characteristics with regards to liquidity are analyzed. There are three main results. First one is that the liquidity premium exists in the loan markets and that investors are being compensated for holding less liquid loans by receiving higher credit spreads. Variables that are priced into the credit spreads are provided toghether with the impact they have in pricing. The second main result is that it is possible to predict loan liquidity given the data at origination and the list of characteristics impacting the liquidity is provided. The third main result was obtained by calculating the liquidity adjusted Value at Risk in order to analyze the risk associated with holding less liquid loans. As it is shown, the liquidity component presents the larger part of the total Value at Risk and consequently should not be ignored when the risk/reward profile of a loan is analyzed. |
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