A carregar...
Publicação
Risco de liquidez vs risco de crédito : Análise Empírica das Yields da Dívida Corporate e dos Spreads dos CDS
| Nome: | Descrição: | Tamanho: | Formato: | |
|---|---|---|---|---|
| 959.36 KB | Adobe PDF |
Orientador(es)
Resumo(s)
Este estudo evidencia o impacto e a relevância do risco de liquidez sobre as yields da dívida corporate europeia, durante o período da crise do subprime.O prémio de liquidez estimado por comparação do spread das yields das obrigações corporate com o prémio dos credit default swaps, cresceu consideravelmente, em valores absolutos, nos meses de maior perturbação nos mercados financeiros. Em termos relativos, a importância do prémio de liquidez também observou uma tendência crescente, com algumas oscilações significativas, ao longo do período em análise, representando em média, aproximadamente 40% da yield corporate spread. Neste sentido, em períodos de stress dos mercados, este estudo advoga a necessidade de se considerar um prémio de liquidez adicional na taxa juro de desconto, utilizada no âmbito das metodologias de avaliação mark-to-model dos activos financeiros, propondo uma estimativa do respectivo valor, por sector de actividade
In this study we highlight the importance of the liquidity risk on the european corporate bonds yields, during the subprime crises. We were able to demonstrate that the liquidity premium, calculated as the difference between the corporate bond yield spread and the credit default swaps premium, has grown significantly, during the recent market turmoil. The size of the liquidity premium on the yield corporate spread has also demonstrated a growing trend, with punctual high volatility, during the time frame of the study, representing in average, roughly 40% of the yield corporate spread. As a result, in periods of market stress, this study advocates the need of an additional liquidity premium on the discount rate, used on the financial asset valuation methodologies known as mark-to-model, suggesting an estimate of the respectively adjustment by market sector.
In this study we highlight the importance of the liquidity risk on the european corporate bonds yields, during the subprime crises. We were able to demonstrate that the liquidity premium, calculated as the difference between the corporate bond yield spread and the credit default swaps premium, has grown significantly, during the recent market turmoil. The size of the liquidity premium on the yield corporate spread has also demonstrated a growing trend, with punctual high volatility, during the time frame of the study, representing in average, roughly 40% of the yield corporate spread. As a result, in periods of market stress, this study advocates the need of an additional liquidity premium on the discount rate, used on the financial asset valuation methodologies known as mark-to-model, suggesting an estimate of the respectively adjustment by market sector.
Descrição
Mestrado em Finanças
Palavras-chave
Prémio de Liquidez Risco de Crédito Yield Corporate Spread Prémio de Liquidez, Risco de Crédito, Yield Corporate Spread, CDS Spread Liquidity Premium Credit Risk Yield Corporate Spread CDS Spread
Contexto Educativo
Citação
Pereira, Patrícia Alexandra Gomes. 2010. "Risco de liquidez vs risco de crédito : Análise Empírica das Yields da Dívida Corporate e dos Spreads dos CDS". Dissertação de Mestrado. Universidade Técnica de Lisboa. Instituto Superior de Economia e Gestão
Editora
Instituto Superior de Economia e Gestão