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The sovereign CDS-Bond basis: From a crisis perspective

A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economics ; This work studies the determinants of the sovereign CDS-bond basis distortions, in the Euro area, during the last crises period. Regression analysis showed four relevant conclusions. Credit rating and credit outlook downgrades have a huge impact on the sovereign ...