Sökning: "Andreas Möllerström"

Hittade 1 uppsats innehållade orden Andreas Möllerström.

  1. 1. Relationship Crisis?: - An Empirical Study of the Theoretical Equivalence Relationship between CDS and Bond Markets in a Time-Varying Context

    D-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Författare :Andreas Regen; Johan Möllerström; [2010]
    Nyckelord :CDS spread; Bond spread; Cointegration; Price discovery; Negative basis;

    Sammanfattning : This paper compares prices of traded European corporate credit risk in the CDS and bond market in a time-varying context. Theory predicts that the two markets would price credit risk equally in the long-run. However, our empirical findings between the two time periods chosen for this study contradict this theory. LÄS MER