Sökning: "Credit Default Swap"

Visar resultat 1 - 5 av 51 uppsatser innehållade orden Credit Default Swap.

  1. 1. 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

  2. 2. 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

  3. 3. 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

  4. 4. Har Sveriges storbanker blivit säkrare?

    Kandidat-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Anton Ljung; [2017]
    Nyckelord :Kapitaltäckning; Basel-III; Credit Default Swap spread; Volatilitet; Business and Economics;

    Sammanfattning : Syftet med denna studie är att undersöka om marknadsrisken för de fyra svenska storbankerna har minskat i och med ökad kapitaltäckning. Finansiell teori implicerar att höjd kapitaltäckning bör resultera i minskad risk i aktiepriset. LÄS MER

  5. 5. Exploring the Factors of the Credit Default Swap Spread in Different Business Sectors

    Kandidat-uppsats, KTH/Matematisk statistik; KTH/Matematisk statistik

    Författare :Kristofer Engman; Betty Ålander; [2017]
    Nyckelord :;

    Sammanfattning : In this study, we investigate the effect of market factors on credit default swap spreads aggregated by specific business sectors. The market factors include commodity spot prices, foreign exchange spot prices, equity index prices and interest swap rates. LÄS MER

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