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Credit default swaps and the impact on corporate bonds

Wilde, Marian
(2015)

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Details

Supervisors
Colmant, Bruno
Faculty
Louvain School of Management
Degree label
Master [120] en sciences de gestion
Abstract
In this thesis, the relation between CDS and corporate bonds is investigated. Several theoretical arguments claim that the onset of CDS trading affects the corporate bonds market in terms of yield spread and liquidity. From these theoretical concepts, hypothesis are derived which are then tested empirically with a comprehensive data set. The empirical results indicate that the onset of CDS trading does affect yield spreads and liquidity of corporate bonds.