The effects of stock market and interest rates on credit default swaps.

• Main Authors: Leong, Phooi Teng., Tan, Saw Hoon., Tan, Zi Ying.
• Other Authors: Lee Hon Sing
• Format: Final Year Project
• Language: English
• Published: 2009
• Subjects: DRNTU::Business::Finance::Derivatives
• Online Access: http://hdl.handle.net/10356/15261
• Institution: Nanyang Technological University

In this paper, we studied the effects of stock market and interest rates on credit default swaps (CDS), taking time series effect into consideration. Results showed substantial evidence that time series effect was distorting to our study. Without regarding time series effect, there were no consisten...