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Visar resultat 1 - 5 av 7 uppsatser som matchar ovanstående sökkriterier.

  1. 1. An Efficient Market Study of European CDS and Equity Markets

    Master-uppsats, Umeå universitet/Företagsekonomi

    Författare :Fredric Wållberg; Leo Lundberg; [2022]
    Nyckelord :Efficient Market Theory; Financial Crash; Price Discovery Process; CDS;

    Sammanfattning : This thesis investigates the price discovery process between the stock and the credit default swap market (CDS). We link the financial theory of efficient markets and the underlying models and conditions involved in CDSs, the stock market and financial crashes. LÄS MER

  3. 2. 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

  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. Pricing Credit Default Index Swaptions A numerical evaluation of pricing models

    Master-uppsats, Göteborgs universitet/Graduate School

    Författare :Erik Sveder; Edvard Johansson; [2015-07-13]
    Nyckelord :Credit Default Index Swaptions; Options on CDS Indices; Credit Derivatives; Credit Default Swap; Credit Default Swaption; Credit Default Index Swap; Credit Risk; Credit Risk Modelling; Intensity-based Mod- elling; Black-Scholes;

    Sammanfattning : This study examines the background and nature of the credit default index swaption (CDIS) and presents relevant methods for modelling credit risk. A CDIS is a credit derivative contract that gives the buyer right to enter into a credit default index swap (CDS index) contract at a given point in time. LÄS MER