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"Tesis ini mempelajari nature atau faktor-faktor determinan yang mempengaruhi sovereign credit risk Indonesia dan 5 peers-nya dengan menggunakan ekstensif data Credit Default Swaps (CDS). Sovereign CDS spreads masa kontrak 5 tahun dijadikan proxy dari sovereign credit risk di masing-masing negara. Karena sovereign credit risk hanya direpresentasikan oleh satu variabel yaitu sovereign CDS spreads dan mekanisme perdagangan CDS ini dilakukan oleh bank-bank investasi (investment banks), maka penelitian ini cenderung menggambarkan persepsi pelaku pasar finansial terhadap sovereign credit risk di Indonesia dan 5 peers-nya dan tidak dimaksudkan untuk merefleksikan risiko fundamental ekonomi secara keseluruhan dalam negara tersebut. Saya menemukan bahwa pergerakan sovereign credit risk Indonesia dalam periode Desember 2004 hingga September 2012 lebih dipengaruhi oleh sentimen global seperti US stock market returns dan VIX index dibandingkan faktor domestik sendiri. Dari sisi domestik, ada 2 variabel determinan yaitu Indeks Harga Saham Gabungan (IHSG) dan laju inflasi. Selain itu, juga ditemukan bahwa bobot variabel global (risk premia) dalam sovereign credit spreads Indonesia hampir dua kali lebih besar dibandingkan bobot variabel domestik (default risk). Saya juga menemukan bahwa tingkat comovement di pasar CDS Indonesia jauh lebih kuat dibandingkan pasar saham dan terjadi secara konsisten baik dalam masa krisis maupun masa normal.

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This research studies the nature or determinant factors of Indonesia sovereign credit risk and 5 peers using an extensive dataset of sovereign Credit Default Swaps (CDS). A 5-year maturity sovereign CDS spread has been used as proxy of sovereign credit risk in each country. Due to sovereign credit risk is represented and proxied by a single variable which is a 5-year maturity sovereign CDS spreads in which principally this instrument traded by investment banks, the research tends to portray the market participants perception on Indonesia sovereign credit risk and 5 peers and is not meant to reflect the overall economic fundamental risk in a particular country.

I find that Indonesia sovereign credit risk during December 2004-September 2012 is more driven by global factors such as US stock market returns and VIX index rather than domestic instruments. From domestic side, Jakarta composite index and inflation are becoming determinant variables for explaining Indonesia sovereign credit spreads. I also find that the weight of global variables (risk premia) is larger by nearly two times than local variables (default risk). In addition, I find that comovement of Indonesia CDS market is consistently higher than stock market either in crises or normal moment."

"Credit Default Swaps (CDS) sparked the interests of government and financial institutions around the globe due to its role within the 2008 financial crisis in the United States of America. A CDS is used by an investor to earn profits from selling protection or to hedge against the likeability of a counterparty to default (credit event). CDS is often traded within the OTC market, however since financial crisis of 2008, CDS are categorized as a high risk financial instrument and types of CDS required to be traded, executed, and cleared through designated entities. Though played a role within the financial crisis of 2008, CDSs are still often used for investment tools for investors, as the regulatory framework of the derivative has been improved drastically since the overhaul of the American financial system by Title VII of the Dodd Frank Act of 2010. Within Indonesia’s legal framework CDSs are acknowledged however lacks comprehensive investor legal protection such as in the United States of America. Therefore, the Author finds it interesting to comprehend CDS in Indonesia and then comparing it to the legal framework in the United States of America. The main focus of this undergraduate thesis is discussing the investor legal the investor legal protections provided in Indonesia and the United States of America; and to further elaborate how the both governments enact laws to overcome risks within the CDS transactions. This research uses the micro-comparison method that results in a juridical-normative research. The purpose of this research is to provide insight to improve the legal framework of CDSs in Indonesia. This research concludes that there are little to none investor protection provided in Indonesia regarding CDS, moreover Indonesia may adapt the regulations the government of the United States of America utilized to overcome the 2008 financial crisis.

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Credit Default Swaps (CDS) menarik perhatian pemerintah dan lembaga keuangan di seluruh dunia karena perannya dalam krisis keuangan tahun 2008 di Amerika Serikat. CDS digunakan oleh investor untuk mendapatkan keuntungan dari penjualan proteksi atau untuk melakukan lindung nilai terhadap kemungkinan gagal bayar dari pihak lawan (credit event). CDS sering diperdagangkan di pasar OTC, namun sejak krisis keuangan 2008, CDS dikategorikan sebagai instrumen keuangan yang berisiko tinggi dan jenis CDS harus diperdagangkan, dieksekusi, dan dikliringkan melalui entitas tertentu. Meskipun berperan dalam krisis keuangan tahun 2008, CDS masih sering digunakan sebagai alat investasi bagi investor, karena peraturan derivatif telah diperbaiki secara drastis sejak perombakan sistem keuangan Amerika Serikat melalui Title VII Dodd Frank Act tahun 2010. Dalam hukum Indonesia, CDS diakui namun tidak memiliki perlindungan hukum yang komprehensif bagi investor seperti di Amerika Serikat. Oleh karena itu, Penulis merasa tertarik untuk memahami CDS di Indonesia dan kemudian membandingkannya dengan kerangka hukum di Amerika Serikat. Fokus utama dari skripsi ini adalah membahas perlindungan hukum bagi investor yang diberikan di Indonesia dan Amerika Serikat, serta bagaimana kedua negara tersebut memberlakukan hukum untuk mengatasi risiko dalam transaksi CDS. Penelitian ini menggunakan metode perbandingan hukum yang bersifat yuridis-normatif. Tujuan dari penelitian ini adalah untuk memberikan masukan untuk memperbaiki hukum CDS di Indonesia. Penelitian ini menyimpulkan bahwa perlindungan investor yang diberikan di Indonesia terkait CDS masih sangat minim, sehingga Indonesia dapat m"

"The second edition of An Introduction to Credit Derivatives provides a broad introduction to products and a marketplace that have changed significantly since the financial crisis of 2008. Author Moorad Choudhry gives a practitioner's perspective on credit derivative instruments and the risks they involve in a succinct style without sacrificing technical details and scientific precision.Beginning with foundational discussions of credit risk, credit risk transfer and credit ratings, the book proceeds to examine credit default swaps and related pricing, asset swaps, credit-linked notes, and more. Ample references, appendices and a glossary add considerably to the lasting value of the book for students and professionals in finance."