Sökning: "iTraxx"

Visar resultat 1 - 5 av 13 uppsatser innehållade ordet iTraxx.

  1. 1. Credit Default Swap Bond Basis Trading Opportunities in Times of Economic Uncertainty in European Financial Market

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Annemarie Troeger; Anne-Mari Kaur; [2020]
    Nyckelord :CDS-bond spread; Basis Trading; Volatility triggered exit; economic uncertainty; Business and Economics;

    Sammanfattning : We investigated CDS-bond basis trading strategies during five different events, which possibly have caused market uncertainty on the European market. Those events include the peak of the Greek debt crisis (2015), Brexit announcement (2016), French presidential elections (2017), Tariffs on European Union (2018) and COVID-19 crisis (2020). LÄS MER

  3. 2. The Swedish Value Premium and Disasters: The Missing Piece of the Puzzle?

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

    Författare :Majed Habash; David Öhlund; [2019]
    Nyckelord :The Value Premium; Disasters; Time-varying Risk;

    Sammanfattning : This paper examines the value premium puzzle in Sweden for the period 2002 - 2016 and attempts to explain the puzzle by accounting for time-varying risk exposure with the inclusion of a proxy for financial disasters risk. The value premium is one of the most persistent financial anomalies and the reasons for its existence have been a hot topic for debate over the past years, with more recent research suggesting that it is a form of compensation for higher exposure to harsh economic downturns, or disasters. LÄS MER

  4. 3. Greenhouse Gas Footprint Minimization of Credit Default Swap Baskets

    Master-uppsats, 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

  5. 4. 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

  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