The thesis examines Credit Default Swaps, derivative financial instruments that had a significant impact during the global financial crisis of 2007-2008 and the subsequent sovereign debt crisis. Credit risk is one of the main concerns for financial institutions, managed through the use of credit derivatives such as CDS, which offer protection against losses due to default or restructuring in exchange for periodic premiums. However, the lack of regulation and transparency in the Over-The-Counter markets has raised concerns regarding speculative trading and counterparty risk. The work focuses primarily on sovereign CDS, exploring their functioning, characteristics, and use. It analyzes the macroeconomic factors that influence CDS premiums, the role of rating agencies, and the impact of the financial and institutional conditions of states on the CDS market. Additionally, econometric models are proposed to highlight the influence of central bank quality on country risk. Finally, the thesis discusses the regulatory measures adopted in Europe to limit the speculative aspect of CDS and their effectiveness, as well as the connection between the CDS market and sovereign bonds. The process of sovereign debt restructuring and its impact on CDS is examined. Through this analysis, the thesis aims to clarify the complexities and implications of CDS in financial markets, especially in the context of sovereign debt.
La tesi esamina i Credit Default Swap, strumenti finanziari derivati che hanno avuto un impatto significativo durante la crisi finanziaria globale del 2007-2008 e la successiva crisi dei debiti sovrani. Il rischio di credito è una delle principali preoccupazioni per le istituzioni finanziarie, gestito attraverso l'uso di derivati creditizi come i CDS, che offrono protezione contro le perdite dovute a default o ristrutturazioni in cambio di premi periodici. Tuttavia, la mancanza di regolamentazione e trasparenza nei mercati Over-The-Counter ha sollevato preoccupazioni riguardo al trading speculativo e al rischio di controparte. Il lavoro si concentra principalmente sui CDS sovrani, esplorando il loro funzionamento, le caratteristiche e l'uso. Analizza i fattori macroeconomici che influenzano i premi dei CDS, il ruolo delle agenzie di rating e l'impatto delle condizioni finanziarie e istituzionali degli Stati sul mercato dei CDS. Vengono inoltre proposti modelli econometrici per evidenziare l'influenza della qualità delle banche centrali sul rischio paese. Infine, vengono discusse le misure normative adottate in Europa per limitare l'aspetto speculativo dei CDS e la loro efficacia, nonché la connessione tra il mercato dei CDS e dei bond sovrani. Viene esaminato il processo di ristrutturazione del debito sovrano e il suo impatto sui CDS. Attraverso questa analisi, la tesi mira a chiarire le complessità e le implicazioni dei CDS nei mercati finanziari, specialmente nel contesto del debito sovrano.
Credit Default Swap: regolamentazione e premi nei derivati sovrani
ANDRETTO, DENIS
2023/2024
Abstract
The thesis examines Credit Default Swaps, derivative financial instruments that had a significant impact during the global financial crisis of 2007-2008 and the subsequent sovereign debt crisis. Credit risk is one of the main concerns for financial institutions, managed through the use of credit derivatives such as CDS, which offer protection against losses due to default or restructuring in exchange for periodic premiums. However, the lack of regulation and transparency in the Over-The-Counter markets has raised concerns regarding speculative trading and counterparty risk. The work focuses primarily on sovereign CDS, exploring their functioning, characteristics, and use. It analyzes the macroeconomic factors that influence CDS premiums, the role of rating agencies, and the impact of the financial and institutional conditions of states on the CDS market. Additionally, econometric models are proposed to highlight the influence of central bank quality on country risk. Finally, the thesis discusses the regulatory measures adopted in Europe to limit the speculative aspect of CDS and their effectiveness, as well as the connection between the CDS market and sovereign bonds. The process of sovereign debt restructuring and its impact on CDS is examined. Through this analysis, the thesis aims to clarify the complexities and implications of CDS in financial markets, especially in the context of sovereign debt.File | Dimensione | Formato | |
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https://hdl.handle.net/20.500.12608/68882