E.R.C.D.S

Notre projet consiste à identifier les manipulations sur les prix des Credit default swaps d’entreprises.

Nous avons travaillé sur les spreads de CDS de grandes entreprises, cotées sur le CAC40 ou les marchés boursiers américains, évoluant dans différents secteurs d’activités.

Pour ce faire, nous avons développé un programme en Visual Basic qui calcul le prix théorique d’un CDS sur 3 ans en fonction des données du marché de l’entreprise étudiée (cours de l’action, dette de l’entreprise, volatilité, etc..). Ce programme s’appuie sur les équations mathématiques du modèle de Merton. Ensuite nous comparons le prix théorique calculé du CDS à son prix réel, et nous analysons la différence entre les deux prix.

Après avoir étudié plusieurs entreprises, nous avons comparé les résultats trouvés par des fonctions de corrélations et avons conclus que notre modèle était plus efficace pour identifier les manipulations des prix des CDS d’entreprises évoluant sur le marché bancaire.

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