Sökning: "Carina Gripsten"

Hittade 1 uppsats innehållade orden Carina Gripsten.

  1. 1. Explaining Credit Default Swap Index Spreads - A Study of the iTraxx Index

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

    Författare :Carina Gripsten; Maja Bergström; [2007]
    Nyckelord :Credit Default Swap Index; European iTraxx index; Credit risk; Merton model; Credit spread;

    Sammanfattning : In this paper we investigate the relationship between the European iTraxx spreads and the theoretical determinants suggested by the Merton model during the period from June 2004 to September 2006. The Merton model suggests that leverage, volatility and the risk-free rate should influence credit spreads. LÄS MER