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Contribution Details
| Type | Bachelor's Thesis |
| Scope | Discipline-based scholarship |
| Title | Rating Downgrades and the CDS-Bond Basis of European Banks |
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| Institution | University of Zurich |
| Faculty | Faculty of Business, Economics and Informatics |
| Number of Pages | 46 |
| Date | 2017 |
| Abstract Text | The eects of rating downgrades on the CDS-bond basis are analysed in this paper. Past ndings are described on why the parity relationship between bond spreads over the benchmark risk-free rate and credit default swaps fails empirically listing key factors. A series of statistical tests using event studies are performed to demonstrate the basis behaviour around rating downgrades of European banks from 2007 to 2016. Special focus is set on eects of rating agencies, rating levels and nationalities on the CDS-bond basis. Whereas dierences in rating agencies show the most signi cant outcomes in contrast to ratings below a certain threshold which barely produce any signi cant results. |
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