Detail práce

The role of credit default swaps during the subprime mortgage crisis in 2007-2009

Autor: Bc. Andrea Lazukićová
Rok: 2019 - letní
Vedoucí: prof. PhDr. Petr Teplý Ph.D.
Typ práce: Bakalářská
Jazyk: Anglicky
Stránky: 49
Abstrakt: This thesis focuses on the role of credit default swaps during the subprime mortgage crisis
2007-2009 with special focus on mortgage-backed securities. In the empirical part of the
thesis, three models are constructed. All of them have the same dependent variable, a
mortgage delinquency rate in the 2005-2010 period, and independent variables representing
various types of credit default swaps issued.
Streamlined in each model, credit default swaps (CDS) were divided based on certain criteria
(underlying sectors, maturity and ranking) and subsequently compared and analysed. By
using the probit model, the main research question “How the probability of mortgage
delinquency depends on the volume of credit default swaps issued?” was inspected.
The contribution of this thesis is three-fold. First, we show that a delinquency rate of
mortgages was correlated with the maturity of CDS issued (the delinquency rate was higher
for short-term loans). Second, we state that the volume of subprime loans increased along
with the volume of issued CDS, what contradicts to the insurance nature of a CDS. Finally, a
mortgage delinquency rate was lower in the 2006-2008 period than in 2009-2011, what
implies the domino effect of failing mortgages had an immense impact even after the global




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