Sökning: "CDS indices"

Visar resultat 6 - 7 av 7 uppsatser innehållade orden CDS indices.

  1. 6. 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

  3. 7. THE LINK BETWEEN EQUITY RETURNS AND CDS SPREADS IN SUB-INVEST GRADE COMPANIES -A study of the European iTraxx indices

    Magister-uppsats, Lunds universitet/Företagsekonomiska institutionen

    Författare :Magnus Töndevold; Peter Dreijer; [2010]
    Nyckelord :Credit default swap index; iTraxx; Equity index return; CDS spread; Merton’s model; Sub-investment grade; Management of enterprises; Företagsledning; management; Business and Economics;

    Sammanfattning : The purpose is to investigate whether the correlation between equity returns and changes in CDS spreads is stronger for sub-investment grade companies than for investment grade companies in the European iTraxx indices.... LÄS MER