An Empirical Analysis of Turkish Credit Default SWAPS

Hasan Baklacı and İlker Arslan
Additional contact information
Hasan Baklacı: İzmir University of Economics
İlker Arslan: Türkiye İş Bankası

Ekonomik Yaklasim, 2006, vol. 17, issue 60-61, 111-121

Abstract: Despite its widespread use globally, majority of the Turkish financial institutions are still unaware of Credit Default Swaps (CDS), stemming mainly from insufficient financial infrastructure and information base for credit derivatives. This study analyzes Turkish CDS from various perspectives. The findings exhibit that 10-year spreads are found to be overpriced, primarily due to the lack of liquidity in current CDS market in Turkey. Besides, the term structure of default probability estimations for Turkey reveal that the level and the change in default risk for Turkey for the next five years is relatively low, particularly when compared to 2001 which is marked as the worst crisis year.

Keywords: credit derivatives; default swap; default probability; term structure (search for similar items in EconPapers)
Date: 2006
Note: [English Title] AN EMPIRICAL ANALYSIS OF TURKISH CREDIT DEFAULT SWAPS [English Abstract] Despite its widespread use globally, majority of the Turkish financial institutions are still unaware of Credit Default Swaps ( CDS ), stemming mainly from insufficient financial infrastructure and information base for credit derivatives. This study analyzes Turkish CDS from various perspectives. The findings exhibit that 10-year spreads are found to be overpriced, primarily due to the lack of liquidity in current CDS market in Turkey. Besides, the term structure of default probability estimations for Turkey reveal that the level and the change in default risk for Turkey for the next five years is relatively low, particularly when compared to 2001 which is marked as the worst crisis year. [English Keywords] credit derivatives, default swap, default probability, term structure
References: Add references at CitEc
Citations:

Downloads: (external link)
http://dx.doi.org/10.5455/ey.10620 (application/pdf)
No restriction for articles.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eyd:eyjrnl:v:17:y:2006:i:60:p:111-121

Access Statistics for this article

Ekonomik Yaklasim is currently edited by Ozan Eruygur

More articles in Ekonomik Yaklasim from Ekonomik Yaklasim Association
Bibliographic data for series maintained by Ozan Eruygur ().