The effects of stock market and interest rates on credit default swaps.

• المؤلفون الرئيسيون: Leong, Phooi Teng., Tan, Saw Hoon., Tan, Zi Ying.
• مؤلفون آخرون: Lee Hon Sing
• التنسيق: Final Year Project
• اللغة: English
• منشور في: 2009
• الموضوعات: DRNTU::Business::Finance::Derivatives
• الوصول للمادة أونلاين: http://hdl.handle.net/10356/15261
• المؤسسة: Nanyang Technological University

In this paper, we studied the effects of stock market and interest rates on credit default swaps (CDS), taking time series effect into consideration. Results showed substantial evidence that time series effect was distorting to our study. Without regarding time series effect, there were no consisten...