Yaşar Kemal Peştreli MSc., Financial Engineering and Risk Management

Yaşar Kemal Peştreli MSc., Financial Engineering and Risk Management

Title: The Dynamics of Asset Swap Spread in Turkey

Date: May 29, Tuesday
Time:  10:30
Location: AB2 345

Thesis Committee:

Assoc. Prof. Atakan Yalçın, (Advisor) Özyeğin University
Dr. Satı Mehmet Özsoy,  Özyeğin University
Assoc. Prof. Yiğit Atılgan, Sabancı University 

Abstract:
In response to the nancial crisis, investors have been increasingly sensitive to the evolution of swap spreads, as a rising proportion of their portfolio is constituted by emerging markets debt instruments. I provide two model that link Turkey asset swap spread to local and global market dynamics. I investigate which nancial and economic factors can explain the vast majority of dynamics of asset swap spreads for short and long period of time. I construct an empirical proxy of assets swap spread and run a comprehensive investigation about its economic drivers during the period 2006-2017. I nd that spreads are time-varying and state-dependent, driven by local factors such as currency crash risk, yield curve shape as well as global sentiment orfunding conditions.

Bio:
Kemal Peştreli received the BSc degree in Mathematics from Gebze Technical University, in June, 2013 and he is pursuing an MS in Financial Engineering at Özyeğin University under the supervision of Assoc. Prof. Atakan Yalçın. During his MS work at Özyeğin University, Mr.Peştreli has worked in Istanbul Financial Risk Management Laboratory and involved in ‘Systemic Risk Project’, which is also supported by İSTKA. Beside his academic work, Mr. Peştreli is working at Halkinvest as Treasury and Financial Markets Specialist.