Domestic currency deliverable sovereign credit default swaps
Date of Publication
12-2-2016
Document Type
Master's Thesis
Degree Name
Master of Science in Financial Engineering
Subject Categories
Finance and Financial Management
College
Ramon V. Del Rosario College of Business
Department/Unit
Financial Management
Thesis Adviser
Angelito A. Bala
Abstract/Summary
This new product thesis paper introduces, structures, explores and evaluates a Domestic Currency Deliverable Sovereign (DCDS) Credit Default Swap (CDS). The DCDS CDS is a variant of a standard sovereign CDS. Upon the occurrence of a credit event on the reference entity, the deliverable obligation of the DCDS CDS is a domestic currency-denominated debt of the sovereign reference entity, instead of a foreign currency-denominated debt. This is the primary difference between the DCDS CDS and its standard sovereign CDS counterpart. This DCDS CDS thesis paper will provide a financial engineering perspective and in-depth discussion on this new CDS variant. The paper will provide a product description, features, transaction mechanics, and salient considerations on risk management, accounting, and documentation. In addition, there will also be a discussion on the pricing and valuation model for the product. To further illustrate the product concept, a case study will be provided on Republic of the Philippines (ROP) CDS whose deliverable obligations will be limited to Philippine Peso (PHP) -denominated government securities.
Abstract Format
html
Language
English
Format
Electronic
Accession Number
CDTG006888
Shelf Location
Archives, The Learning Common's, 12F Henry Sy Sr. Hall
Physical Description
1 computer optical disc; 4 3/4 in.
Keywords
Credit; Debts, Public
Upload Full Text
wf_no
Recommended Citation
Almonte, C. R. (2016). Domestic currency deliverable sovereign credit default swaps. Retrieved from https://animorepository.dlsu.edu.ph/etd_masteral/7286
Embargo Period
10-18-2024
