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Pricing credit default swaps in the Asian Pasific Region pre and post-global financial crisis 2008
This research tries to expand the explanation of the second order and third order arbitrage between the implied risk-free rate and a specific benchmark risk free rate, and also the Risk-Neutral Probability to Default (RNPD) on bonds, credit default swap, and equity values. The purpose of this arbitrage relationship seeking other than to calculate the fair price for the credit default swap, but to indicate any price differences pre and post of the global financial crisis of 2008. This research also describes the process of Sharp?s financial distress in the end of 2012. According to the results obtained there are second but no third or arbitrage relationship between the corporate bond market, equity market and its respective credit derivative market in the overall 2000-2012 periods, and also pre and post crisis. This research also obtains facts that the equity implied models has low predictability value towards the changes in Risk-Neutral Probability to Default in the case of Sharp?s bankruptcy.Ada tabel
Ketersediaan
| Call Number | Location | Available |
|---|---|---|
| 8538 | PSB lt.2 - Karya Akhir | 1 |
| Penerbit | Depok: Program Studi Akuntansi, Fakultas Ekonomi Universitas Indonesia 2013 |
|---|---|
| Edisi | - |
| Subjek | Credit Financial crisis Probability Bonds Credit default swaps Arbitrage |
| ISBN/ISSN | - |
| Klasifikasi | - |
| Deskripsi Fisik | xv, 117 p. : diagr., il. ; 30 cm. |
| Info Detail Spesifik | - |
| Other Version/Related | Tidak tersedia versi lain |
| Lampiran Berkas | Tidak Ada Data |