Default Risk of Greek Government during the Crisis of 2010
|Author:||Mgr. Oldřich Veselý|
|Year:||2011 - summer|
|Leaders:|| prof. Ing. Oldřich Dědek CSc.
|Work type:|| Finance, Financial Markets and Banking
|Awards and prizes:||M.A. with distinction from the Dean of the Faculty of Social Sciences for an excellent state-final examination performance.|
|Abstract:||Many people have already questioned whether Greece would default: investors, economists, politicians and general public. The Greek debt crisis has also caused a great turmoil in the EU causing fears of its spreading to other countries with poor fiscal situation in Eurozone through bond markets. Finally the rescue package was prepared for Greece consisting of EUR 110 billion loan facility from both Eurozone and IMF.
We study the Greek fiscal crisis in the thesis. We try to find its real causes in the historical chapter and we also show the methodology which can be used to assess the credit risk of Greek government using bond market information and CDS contracts information. In the empirical part we study the evolution of the probability of default of Greek government during the debt crisis using parsimonious model based on the bond market information.
|Downloadable:|| Diploma Thesis of Veselý