Sökning: "Credit Default Swap"

Visar resultat 1 - 5 av 53 uppsatser innehållade orden Credit Default Swap.

  1. 1. Greenhouse Gas Footprint Minimization of Credit Default Swap Baskets

    Master-uppsats, Umeå universitet/Institutionen för matematik och matematisk statistik; Umeå universitet/Institutionen för matematik och matematisk statistik

    Författare :Oscar Britse; Johan Jarnmo; [2018]
    Nyckelord :credit default swap; CDS; CDS basket; greenhouse gas; emission; iTraxx; CDX; portfolio optimization; ECOBAR; Markowitz;

    Sammanfattning : Global bond market capitalization amounts to approximately $100 trillion, compared to $60 trillion in the equity markets. Despite debt financing being a large part of the global financial market, the measurements and greenhouse gas reduction investment strategies to date are not nearly as thorough as for equity financing. LÄS MER

  2. 2. The Relation Between the Credit Default Swap and Corporate Bond Market

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Sofia Nilsson; Isabelle Sandahl; [2018]
    Nyckelord :Credit Default Swap; Corporate Bond Market; Credit Risk; Arbitrage Argument; Credit Ratings; Business and Economics;

    Sammanfattning : The European credit default swap (CDS) market has experienced noticeable changes and remarkably developed over the last decades. Today, the relation between the CDS and corporate bond market is a prominent topic in the financial literature. LÄS MER

  3. 3. A study of the Basel III CVA formula

    Kandidat-uppsats,

    Författare :Rickard Olovsson; Erik Sundberg; [2017-07-03]
    Nyckelord :Basel III; Credit Value Adjustment; Counterparty Credit Risk; Credit Default Swap; Interest Rate Swap; Piecewise Constant Default Intensity; Bootstrapping; Expected Exposure; Internal Model Method;

    Sammanfattning : In this thesis we compare the official Basel III method for computing credit value adjustment (CVA) against a model that assumes piecewise constant default intensities for a number of both market and fictive scenarios. CVA is defined as the price deducted from the risk-free value of a bilateral derivative to adjust for the counterparty credit risk. LÄS MER

  4. 4. Structural Modelling of Credit Spreads on the European Bond Market: An Empirical Study

    Master-uppsats, Lunds universitet/Matematisk statistik

    Författare :Marcus Zethraeus; Magnus Roos; [2017]
    Nyckelord :Structural models; Merton model; Black Cox model; European corporate bond spreads; Mathematics and Statistics;

    Sammanfattning : This thesis empirically tests the explanatory power of structural models on the European corporate bond market. Using new evaluation methods, including LASSO and gradient boosting regression, we can provide an in-depth assessment of the models’ shortcomings. LÄS MER

  5. 5. Credit Risk Modeling and Implementation

    Master-uppsats, Umeå universitet/Institutionen för fysik

    Författare :Johan Gunnars; [2017]
    Nyckelord :CVA; CDS; hazard rate;

    Sammanfattning : The financial crisis and the bankruptcy of Lehman Brothers in 2008 lead to harder regulations for the banking industry which included larger capital reserves for the banks. One of the parts that contributed to this increased capital reserve was the the credit valuation adjustment capital charge which can be explained as the market value of the counterparty default risk. LÄS MER

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