Sökning: "CDS Index"

Visar resultat 1 - 5 av 11 uppsatser innehållade orden CDS Index.

  1. 1. The Determinants of CDS Spreads During the COVID-19 Pandemic

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Anton Flygare; Fredrik Tingets; [2022]
    Nyckelord :Credit Default Swap; CDS spreads; Credit Risk; COVID-19; Business and Economics;

    Sammanfattning : This paper investigates the determinants of CDS spreads in the US, following the spread of the COVID-19 pandemic in early 2020. The pandemic led to an increased volatility and credit risk, as supply and demand suffered. By introducing measures related to COVID-19 we try to explain changes in CDS spreads in the US during the pandemic. LÄS MER

  3. 2. An Efficient Market Study of European CDS and Equity Markets

    Master-uppsats, Umeå universitet/Företagsekonomi

    Författare :Fredric Wållberg; Leo Lundberg; [2022]
    Nyckelord :Efficient Market Theory; Financial Crash; Price Discovery Process; CDS;

    Sammanfattning : This thesis investigates the price discovery process between the stock and the credit default swap market (CDS). We link the financial theory of efficient markets and the underlying models and conditions involved in CDSs, the stock market and financial crashes. LÄS MER

  4. 3. Algorithmic Trading in CDS and Equity Indices Using Statistical Arbitrage

    Master-uppsats, Lunds universitet/Matematisk statistik

    Författare :Melker Samuelsson; Tobias Ek; [2017]
    Nyckelord :Algorithmic Trading; CDS indices; Equity futures; Markov Regime Switch ing Models; Cointegration; Mathematics and Statistics;

    Sammanfattning : Historical data shows a strong relationship between hourly changes in CDS index iTraxx Main and equity futures EURO STOXX 50. We hypothesize that the relatively stable relationship should allow us to trade the two markets. LÄS MER

  5. 4. Pricing Credit Default Index Swaptions A numerical evaluation of pricing models

    Master-uppsats, Göteborgs universitet/Graduate School

    Författare :Erik Sveder; Edvard Johansson; [2015-07-13]
    Nyckelord :Credit Default Index Swaptions; Options on CDS Indices; Credit Derivatives; Credit Default Swap; Credit Default Swaption; Credit Default Index Swap; Credit Risk; Credit Risk Modelling; Intensity-based Mod- elling; Black-Scholes;

    Sammanfattning : This study examines the background and nature of the credit default index swaption (CDIS) and presents relevant methods for modelling credit risk. A CDIS is a credit derivative contract that gives the buyer right to enter into a credit default index swap (CDS index) contract at a given point in time. LÄS MER

  7. 5. Trading CDS Indices vs. Equity Index Futures – A pairs trade

    Master-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Daniel Alavei; Tobias Olsson; [2015]
    Nyckelord :Cointegration; Equity Index Future; CDS Index; Pairs Trading; Business and Economics;

    Sammanfattning : In this thesis we use a unique data set to show that there is a cointegrating relationship between the EURO STOXX 50 index and the Markit iTraxx Europe index that can be exploited through trading. As far as we know, we are the first ones to write about trading this pair in an academic paper. LÄS MER