Turkish credit default swap and relationship with financial indicators

Basit Öğe Kaydı
dc.contributorBanking and Financeen
dc.contributor.advisorKaraali, Ali Batu
dc.contributor.authorÖzkaplan, Dilek
dc.date.accessioned2015-02-12T14:31:23Z
dc.date.available2015-02-12T14:31:23Z
dc.date.issued2011
dc.departmentEnstitüler, Lisansüstü Programlar Enstitüsü, Bankacılık ve Finans Ana Bilim Dalıen_US
dc.description.abstractThe credit default swap (CDS) is the building stone of hedging strategies for credit exposures, and basis of more advanced credit derivative products. The CDS market has appeared to become a major asset class in the capital markets. One largely confined to banks, to market participants have expanded to include insurance companies, hedge funds, mutual funds, pension funds, and other investors looking for yield enhancement or credit risk transference. The literature review presents the recent work on interactions of credit default swap and other variables. The scope of this study is to find out if there is a relationship separately between CDS spreads and financial indicators as Eurobond, Dow Jones Index, Istanbul Stock Exchange Index (ISE–100), Foreign exchange currency (Fx) rates. In our empirical work, we collect CDS, Eurobond and Dow Jones data from Bloomberg data provider, ISE–100 closing price data from ISE web site and Fx –TRY currency rates from web site of Central Bank of the Republic of Turkey for dates from March 3rd, 2002 to January 22nd, 2010. E-views 5 program is used for One Variable and Multivariable Regression, Correlation, Granger Causality Tests and Vector Autoregression Tests . Dow Jones rates, and the way of the interaction runs from Eurobond and Dow Jones to CDS. Results enable to interpret the relationship between CDS–ISE 100 and CDS–currency rates. Causality runs for both variables from CDS.en_US
dc.identifier.endpage52en_US
dc.identifier.startpage1en_US
dc.identifier.urihttps://hdl.handle.net//11411/357
dc.identifier.urihttps://tez.yok.gov.tr/UlusalTezMerkezi/TezGoster?key=zD1B0cW7zVr3VcnZjitVXrfkOYpc8-sO8wtKOBX8rEJxvofd2rMgXv-Ly0kYe7pF
dc.identifier.yoktezid288061en_US
dc.language.isoenen_US
dc.publisherİstanbul Bilgi Üniversitesien_US
dc.relation.publicationcategoryTezen_US
dc.rightsAttribution-NonCommercial-NoDerivs 3.0 United States*
dc.rightsinfo:eu-repo/semantics/openAccessen
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/3.0/us/*
dc.titleTurkish credit default swap and relationship with financial indicatorsen_US
dc.title.alternativeTürkiye kredi temerrüt takası ve finansal göstergeler ile ilişkisien_US
dc.typeMaster Thesisen_US

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