Bibliographic citations
Fuentes, G., (2023). La dinámica entre el mercado de instrumentos de renta fija soberana y el mercado de credit default swaps soberanos en Perú [Trabajo de investigación, Universidad Peruana de Ciencias Aplicadas (UPC)]. http://hdl.handle.net/10757/667589
Fuentes, G., La dinámica entre el mercado de instrumentos de renta fija soberana y el mercado de credit default swaps soberanos en Perú [Trabajo de investigación]. PE: Universidad Peruana de Ciencias Aplicadas (UPC); 2023. http://hdl.handle.net/10757/667589
@misc{renati/404643,
title = "La dinámica entre el mercado de instrumentos de renta fija soberana y el mercado de credit default swaps soberanos en Perú",
author = "Fuentes Merizalde, Gonzalo Manuel",
publisher = "Universidad Peruana de Ciencias Aplicadas (UPC)",
year = "2023"
}
Credit derivatives, specifically, Credit Default Swaps, played a predominant role during the 2007-2009 international financial crisis. In the United States, the banking system registered losses equivalent to US$ 870 billion due to the fall in the price of CDS contracts and the subsequent bankruptcy of Lehman Brothers determined the bursting of the financial bubble and the process of contagion to other economies. In Europe, central banks implemented financial stabilization programs with the aim of transferring risk from the private sector to the public sector. After the public sector, several economies belonging to the Euro zone began to present imbalances in their public finances that led to unsustainable public debt. Thus, the related literature provides a theoretical framework to study the dynamic relationship between the CDS market and public fixed income instruments with sovereign issuers in emerging economies. Thus, the main results of this research reveal that: (i) in the short term, the market for public fixed income instruments leads the price formation process; and the CDS market adjusts to the long-term imbalance to correct the deviation in prices. (ii) In the long term, both markets show an equilibrium relationship.
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