Credit Default Swaps: analýza, oceňování, vývoj trhu

Lucie Sobotková

Master's thesis

Abstract:

The thesis covers three main areas regarding credit derivatives. The first part brings comprehensive description of currently known and broadly used credit derivatives. It provides a full explanation of its mechanism, advantages, settlement and practical examples of investment. The second part attempts to clarify the valuation and pricing of the basic credit derivative - credit default swap. The aim of this part is to explain the basic principles of valuing credit default swaps and to show practical examples by using markets systems (Bloomberg examples presented). It is shown how to read market data, how to analyze credit spreads and opportunities of arbitrage. The last part of my thesis gives a comprehensive commentary on global credit derivatives market historical and current development, especially on emerging markets, analysis of sovereign defaults and its impact on credit market. To conclude, the part with latest credit market development and outlook is attached.

Language used: Czech

Date on which the thesis was submitted / produced: 31. 8. 2007

Thesis defence

• Date of defence: 20. 9. 2007
• Supervisor: Petr Dvořák
• Reader: Jiří Witzany

Vysoká škola ekonomická v Praze

Master programme / field:
Hospodářská politika a správa / Finance