E.R.C.D.S

Our project consists in a CDS (credits default swaps) spread manipulation identification on some factories.

 We worked on some big CAC 40 or American Stock Exchange factories spread. These establishments come from distinct business sector.

In order to develop our research, we have developed Visual Basic software which calculates the theoretical price of our CDS over 3 years, by using some factories’ markets data (stock price, debt per share, volatility, ect…). This software is based on some mathematical equations coming from the Merton model. Then, we compared the theoretical price we have calculated and the real price, and we analyze the differences and correlations between them.

Finally, we succeed in our analysis with some correlation functions in order to conclude that our model is more efficient on the financial firm of bank market.

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