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Abstract(s)
Esta dissertação documenta a relação entre os models Z-score e o CDS Spread no Eurostoxx50. Foi estudada a relação entre o Z-score e o CDS no Eurostoxx50, devido ao facto de a maioria da literatura se focar nos mercados Asiatico e Americano , existindo pouco enfase no mercado Europeu. Outro fator preponderante deste estudo , foi o gap existente de estudos que estabeleçam uma relação direta entre com os modelos
de Z-Score e a valorização de CDS. Foi também estudada de igual modo a relação entre a Saúde financeira das empresas e os modelos de Z-Score , recorrendo ao Health Score como variável dependente , reforçando aqui uma vez mais a ligação entre os Modelos Z-Score e a notação de Rating , parte integrante do Health Score. Relativamente a variáveis explicativas foram usadas como variáveis o CDS Spread , a Volatilidade do
CDS Spread e a Performance do CDS Premium . Como variáveis dependentes foram utilizados os modelos ZScore (1968), Z-score’(1983) , Z-Model (1993) e o Modelo O-Score(1980). A amostra utilizada é constituída pelas empresas cotadas no Eurostoxx50 , durante um período de 10 anos , fazendo um total de 50 empresas e 5000 observações.
Os Resultados mostraram que os modelos Z-Score e as variáveis Volatilidade do CDS Spread e a
Performance do CDS Premium apresenta, uma forte relação entre os modelos.
A variável CDS spread apresentou resultados inconclusivos.
This dissertation thesis documents the relationship between the Z-Score models and the CDS Spread in the Eurostoxx50. We examine the Eurostoxx 50 and the Z-Score connection, due to the fact that the majority of the literature focuses in the Asian and American markets, having little emphasis in the European markets. The other main factor was the lack of studies that explain a direct connection between the CDS valuation and Z-Score models. We also studied the relationship between the Z-Score and the financial health of the companies, exploring the relationship between the ZScore and Health Score reinforcing therefore the link between the Z-Score and the credit Ratings which the health score uses. With that our main explanatory variables are the CDS spread , CDS Spread Volatility and CDS premium Performance , regarding the models that we test we used the Z-score (1968) , the Zscore’ (1983) , Z-model (1993) and O-Score (1980) as dependent variables. Our Sample was comprised of the companies listed on the Eurostoxx50 , over a 10 year period , making a total of 50 companies and 5000 observations . Our Findings show a strong relationship between the Z-Score models and the CDS spread volatility and also the CDS premium performance. The CDS spread presented mixed results.
This dissertation thesis documents the relationship between the Z-Score models and the CDS Spread in the Eurostoxx50. We examine the Eurostoxx 50 and the Z-Score connection, due to the fact that the majority of the literature focuses in the Asian and American markets, having little emphasis in the European markets. The other main factor was the lack of studies that explain a direct connection between the CDS valuation and Z-Score models. We also studied the relationship between the Z-Score and the financial health of the companies, exploring the relationship between the ZScore and Health Score reinforcing therefore the link between the Z-Score and the credit Ratings which the health score uses. With that our main explanatory variables are the CDS spread , CDS Spread Volatility and CDS premium Performance , regarding the models that we test we used the Z-score (1968) , the Zscore’ (1983) , Z-model (1993) and O-Score (1980) as dependent variables. Our Sample was comprised of the companies listed on the Eurostoxx50 , over a 10 year period , making a total of 50 companies and 5000 observations . Our Findings show a strong relationship between the Z-Score models and the CDS spread volatility and also the CDS premium performance. The CDS spread presented mixed results.
Description
Mestrado em Análise Financeira
Keywords
CDS Spread Z-Score Eurostoxx50 Probabilidade falência Volatilidade CDS Health Score Rating Default probability CDS volatility