Sökning: "CDS-bond spread"

Hittade 2 uppsatser innehållade orden CDS-bond spread.

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 Decoupling of the CDS and Bond Markets: An Empirical Study of the CDS-Bond Basis of the Credit Crisis

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

   Författare :Fredrik Sundelin; Tommy Torwald; [2010]
   Nyckelord :Corporate Bonds; Credit Default Swaps; Credit Crisis; Basis;

   Sammanfattning : We examine determinants of the credit default swap (CDS) prices, bond credit spreads and the CDS-bond basis of 62 U.S. firms during the period 2007 to 2009. We try to explain the basis by employing credit risk factors from structural models and by introducing a control for market liquidity as well as a funding liquidity factor. LÄS MER