Sökning: "Credit Default Swap"

Visar resultat 21 - 25 av 65 uppsatser innehållade orden Credit Default Swap.

  1. 21. CVA for IR-Swaps under Wrong Way Risk. A numerical evaluation using a semi-analytical model

    Master-uppsats, Göteborgs universitet/Graduate School

    Författare :Berglind Halldórsdóttir; Weili Zhang; [2016-09-21]
    Nyckelord :Credit Value Adjustment; Wrong Way Risk; Interest Rate Swap; Credit Default Swap; Homogeneous CVA Portfolio; Heterogeneous CVA Portfolio; Semi-Analytical Model;

    Sammanfattning : This thesis examines the background and nature of credit value adjustment (CVA), a concept that has heightened in its importance in the financial market after the 2008 financial crisis. Credit value adjustment is defined as a price deducted from the risk-free value of a bilateral derivative to adjust for the counterparty credit risk (CCR). LÄS MER

  3. 22. Central Counterparties. A Numerical Implementation of the Default Waterfall

    Master-uppsats, Göteborgs universitet/Graduate School

    Författare :Karl Ejvegård; Christian Romaniello; [2016-09-21]
    Nyckelord :Risk Management; Central Counterparty; Risk; Stochastic Models; Monte Carlo Simulation; Mixed Binomial Models; Interest Rate Swap;

    Sammanfattning : This thesis studies so called Central Counterparties (CCP), nancial institutions which consist of clearing members, such as large banks. CCPs have the role of centralizing, mutualizing and reducing counterparty risk, by acting as an intermediate in nancial transactions. LÄS MER

  4. 23. Kreditvärdighetsjusteringsmodell för ränteswappar

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

    Författare :Ludvig Fjällström; Leonard Vermelin; [2016]
    Nyckelord :CVA; Credit Valuation Adjustment; Credit Risk; Market Risk;

    Sammanfattning : Before the global financial crisis around 2008, the priority of the credit margin was comparatively low and was not taken into consideration as much as today. Many actors believed that credit risk could be neglected at various valuations. Due to that a lot of parties went bankrupt because of the low priorities. LÄS MER

  5. 24. On the Determinants of Underpricing in Corporate Bond Offerings

    Master-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Björn Aronsson; Daniel Tano; [2016]
    Nyckelord :Bond Underpricing; Underpricing; Initial Bond Offering; Swedish Bond Market; Credit Default Swap; Business and Economics;

    Sammanfattning : Money is often left on the table when corporations issue new securities. Explanations for the underpricing phenomenon are often related to information asymmetry between the investor and the issuer. In this study we investigate factors affecting underpricing on corporate bonds in the Swedish market. LÄS MER

  7. 25. Economic Policy Uncertainty and Credit Risk - A cross sectional analysis of company specific CDS spreads across nine industries in the U.S market

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

    Författare :Emma Carlsson; Olov Ryding Hallin; [2016]
    Nyckelord :Credit Default Swap; Credit Risk; Policy Uncertainty; EPU; Policy Making;

    Sammanfattning : We analyse the effects political uncertainty has on the credit risk embedded in the term structure of single name credit default swap spreads across nine industries in the United States. After running a set of panel regressions, we find that economic policy uncertainty has a widening effect on the spreads. LÄS MER