Sökning: "CDS credit risk"

Visar resultat 1 - 5 av 48 uppsatser innehållade orden CDS credit risk.

  1. 1. ON THE CVA OF CREDIT DEFAULT SWAPS: THE IMPLICATION OF DEPENDENCE USING A COPULA APPROACH

    Master-uppsats, Göteborgs universitet/Graduate School

    Författare :Sebastian Alm; Joel Fredriksson Pregmark; [2023-06-29]
    Nyckelord :Credit Value Adjustment; Counterparty Credit Risk; Wrong Way Risk; Credit Default Swap; Semi-Analytical Model; Interest Rate Swap;

    Sammanfattning : This study examines the nature and background to the Credit Value Adjustment(CVA), a concept that has gained focus due the it’s heightened importance for financial institutions subsequent to the 2008 financial crisis. CVA can be defined as the the price that should be added to the bilateral defaultable contract to adjust for the existing Counterparty Credit Risk (CCR) so that the contract will have the same value as a corresponding risk-free contract. LÄS MER

  3. 2. Modelling Proxy Credit Cruves Using Recurrent Neural Networks

    Master-uppsats, KTH/Matematisk statistik

    Författare :Lucas Fageräng; Hugo Thoursie; [2023]
    Nyckelord :Deep Neural Networks; Credit Risk; Financial Modelling; LSTM; Credit Default Swaps; Credit Valuation Adjustment; Djupa Neurala Nätverk; Kreditrisk; Finansiell Modellering; LSTM; Kreditswappar; Kreditvärderingsjustering;

    Sammanfattning : 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

  4. 3. Investing in Emerging Markets: Environmental Performance and its Effect on Risk Profile

    Kandidat-uppsats, Lunds universitet/Ekonomisk-historiska institutionen

    Författare :Felicity Jaarnek; [2023]
    Nyckelord :CDS spread; sovereign debt; ESG; environment; emerging economies; Business and Economics;

    Sammanfattning : Debt has gained paramount importance for policy makers, stakeholders, and investors due to its far-reaching implications on economic stability, growth prospects, and financial resilience. Meanwhile, environmental conditions are increasing in importance when assessing credit risk. LÄS MER

  5. 4. A Correlation Study on the Relationship between Credit Default Swap (CDS) Spreads and ESG Sentiment in the Banking Sector

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Mattias Olsson; Shabier Stanakzai; [2023]
    Nyckelord :ESG; Sentiment; CDS spreads.; Business and Economics;

    Sammanfattning : 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

  7. 5. The Determinants of CDS Spreads During the COVID-19 Pandemic

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Anton Flygare; Fredrik Tingets; [2022]
    Nyckelord :Credit Default Swap; CDS spreads; Credit Risk; COVID-19; Business and Economics;

    Sammanfattning : This paper investigates the determinants of CDS spreads in the US, following the spread of the COVID-19 pandemic in early 2020. The pandemic led to an increased volatility and credit risk, as supply and demand suffered. By introducing measures related to COVID-19 we try to explain changes in CDS spreads in the US during the pandemic. LÄS MER