Please use this identifier to cite or link to this item: https://bspace.buid.ac.ae1234/559
Title: Credit Default Swap Spread (CDs) to Predict a Default
Authors: Al Saadi, Khulood Salem
Keywords: credit default swap
Expected Default Frequency (EDF)
credit risk
counterparty risk
clearing house
credit rating
Issue Date: Dec-2012
Publisher: The British University in Dubai (BUiD)
Abstract: This paper investigates the ability of the Credit Default Swap Spread (CDSs) to predict a default. As a result, I started to build a regression and correlation model to examine and check if there is a relation between two important variables, which are Credit Default Swap (CDS) and Expected Default Frequency KMV (EDF) KMV. The study concentrates on the degree of variation on the prices for both variables as I believe that if one variable, which should be a predictor, changes the other variable, it should respond to this predication and change its price too. The study concentrates on five U.S. financial institutions, which are Citigroup Inc., JP Morgan Chase & Co., Goldman Sachs Group, Lehman Brother, and Morgan Stanley from 16 January 2007 to 23 May 2011. In conclusion, my analysis approves that the CDSs is classified as either risk exposures accumulator or predictor from year 2007 based on the findings, which prove that there is a relationship between credit default swaps and KMV EDFs.
URI: http://bspace.buid.ac.ae/handle/1234/559
Appears in Collections:Dissertations for Finance and Banking (FB)

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