Sökning: "CDS market"
Visar resultat 1 - 5 av 55 uppsatser innehållade orden CDS market.
1. Modelling Proxy Credit Cruves Using Recurrent Neural Networks
Master-uppsats, KTH/Matematisk statistikSammanfattning : Since the global financial crisis of 2008, regulatory bodies worldwide have implementedincreasingly stringent requirements for measuring and pricing default risk in financialderivatives. Counterparty Credit Risk (CCR) serves as the measure for default risk infinancial derivatives, and Credit Valuation Adjustment (CVA) is the pricing method used toincorporate this default risk into derivatives prices. LÄS MER
2. Modeling Credit Default Swap Spreads with Transformers : A Thesis in collaboration with Handelsbanken
Master-uppsats, KTH/Skolan för elektroteknik och datavetenskap (EECS)Sammanfattning : In the aftermath of the credit crisis in 2007, the importance of Credit Valuation Adjustment (CVA) rose in the Over The Counter (OTC) derivative pricing process. One important part of the pricing process is to determine Probability of Defaults (PDs) of the counterparty in question. LÄS MER
3. A Correlation Study on the Relationship between Credit Default Swap (CDS) Spreads and ESG Sentiment in the Banking Sector
Magister-uppsats, Lunds universitet/Nationalekonomiska institutionenSammanfattning : This study examines the influence of online ESG sentiment on credit market price movement in the banking sector. By employing a panel regression model with fixed effect for firms and time, the study’s findings indicate an inverse relationship between online ESG sentiment and CDS spread in accordance, to some extent, with previous literature. LÄS MER
4. An Efficient Market Study of European CDS and Equity Markets
Master-uppsats, Umeå universitet/FöretagsekonomiSammanfattning : 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
5. Model for Central Counterparty Risk with Stochastic Default Intensities
Master-uppsats, Göteborgs universitet/Graduate SchoolSammanfattning : In this thesis we use a dynamic model to compute several margins required by a central counterparty, the central clearing house (CCP), to the participants, called clearing members (CM). These margins form the so called default waterfall. In this market only credit default swaps (CDS) are exchanged. LÄS MER