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스콜라The guiding research question of this study is to discover whether sovereign credit default swap(CDS) premium for Turkey is determined by market risk, regional risk and bank risk. The dependent variable is sovereign credit default swap premium for Tur...
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RISS 인기검색어
터키 소버린 신용부도스왑(CDS) 프리미엄 결정요인 = Determinants of Sovereign Credit Default Swap Premium in Turkey: Pass-through Effect of Risks
한글로보기https://www.riss.kr/link?id=A101777652
- 저자
- 발행기관
- 학술지명
- 권호사항
-
발행연도
2016
-
작성언어
-
- 주제어
-
KDC
280
-
등재정보
KCI등재
-
자료형태
학술저널
-
수록면
267-302(36쪽)
- 제공처
-
0
상세조회 -
0
다운로드
부가정보
다국어 초록 (Multilingual Abstract)
The guiding research question of this study is to discover whether sovereign credit default swap(CDS) premium for Turkey is determined by market risk, regional risk and bank risk. The dependent variable is sovereign credit default swap premium for Turkey with the maturity of 1yr, 2yr, 3yr, 4yr, 5yr, 7yr, 10yr, 20yr and 30yr. Independent
variables are the implied volatility of equity options, interest swap rate, Euro STOXX 50, Portugal sovereign CDS premium, Greece sovereign CDS premium, Akbank CDS premium. The baseline model is controlled by the time lagged sovereign CDS premium(t-1) and dollar index. The research time frame covers 3. March 2008 to 25.
December 2015. The main findings are twofold: market and regional risks show statistically significant relationship with sovereign CDS premium, and there is no statistical correlation between bank risk and sovereign CDS premium in Turkey. These findings reinforce the view that the main determinants of CDS premium are the implied volatility
in markets and interest rate.
variables are the implied volatility of equity options, interest swap rate, Euro STOXX 50, Portugal sovereign CDS premium, Greece sovereign CDS premium, Akbank CDS premium. The baseline model is controlled by the time lagged sovereign CDS premium(t-1) and dollar index. The research time frame covers 3. March 2008 to 25.
December 2015. The main findings are twofold: market and regional risks show statistically significant relationship with sovereign CDS premium, and there is no statistical correlation between bank risk and sovereign CDS premium in Turkey. These findings reinforce the view that the main determinants of CDS premium are the implied volatility
in markets and interest rate.
The guiding research question of this study is to discover whether sovereign credit default swap(CDS) premium for Turkey is determined by market risk, regional risk and bank risk. The dependent variable is sovereign credit default swap premium for Turkey with the maturity of 1yr, 2yr, 3yr, 4yr, 5yr, 7yr, 10yr, 20yr and 30yr. Independent
variables are the implied volatility of equity options, interest swap rate, Euro STOXX 50, Portugal sovereign CDS premium, Greece sovereign CDS premium, Akbank CDS premium. The baseline model is controlled by the time lagged sovereign CDS premium(t-1) and dollar index. The research time frame covers 3. March 2008 to 25.
December 2015. The main findings are twofold: market and regional risks show statistically significant relationship with sovereign CDS premium, and there is no statistical correlation between bank risk and sovereign CDS premium in Turkey. These findings reinforce the view that the main determinants of CDS premium are the implied volatility
in markets and interest rate.
목차 (Table of Contents)
- Ⅰ. 서론
- Ⅱ. 이론적 배경 및 연구가설
- III. 연구방법
- IV. 분석
- V. 토론
- Ⅰ. 서론
- Ⅱ. 이론적 배경 및 연구가설
- III. 연구방법
- IV. 분석
- V. 토론
- VI. 결론
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