Effect of counterparty risk on CDS spreads during crisis.

• Main Authors: Teo, Gilbert Kwang Yong., Ng, Ronald Jia Sheng.
• Other Authors: Nanyang Business School
• Format: Final Year Project
• Language: English
• Published: 2013
• Subjects: DRNTU::Business
• Online Access: http://hdl.handle.net/10356/51586
• Institution: Nanyang Technological University

We study the effect of counterparty risk on the credit default swap (CDS) spread. For our study, we use the 2008 subprime mortgage crisis period and the collapse of the Lehman Brothers which is a big counterparty during the crisis as a proxy for the effect of counterparty risk on the CDS spread. We...