An Empirical Analysis of the Relationship between an Interest Rate of Bonds and a CDS spread

Student: Filatov Dmitrij

Educational Programme: Bachelor

Year of Graduation: 2014

E-mail: dvfilatov23@gmail.comTel.: +7(926)123-51-22«An Empirical Analysis of the Relationship between an Interest Rate of Bonds and a CDS spread»Filatov DmitryAbstractThe credit derivatives market is growing very fast today. The rapid expansion of the credit default swaps market over the last decade represents one of the most interesting recent developments in financial markets. Therefore, there is a growing interest in new articles on this topic. The main aim of this paper is to investigate the dependence between credit default swap’s spreads and interest rate of sovereign bonds. There is also a review of the credit derivatives market and credit default swaps, considering the spread of credit default swaps as a measure of risk with examples of Ukraine and Argentina. This paper is for economists, and particularly for those who is interested in credit derivatives and credit default swaps.

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