Sökning: "Christian Severinsson"

Hittade 1 uppsats innehållade orden Christian Severinsson.

  1. 1. Measuring credit risk: The relation between CDS Spreads, the modified Merton model and credit ratings

    Kandidat-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Johannes Wedin; Christian Severinsson; [2013]
    Nyckelord :Credit Default Swaps; CDS spreads; credit ratings; Moody’s; the modified Merton model; risk assessment; measuring credit risk; Business and Economics;

    Sammanfattning : Prior articles and reports have named Credit Default Swap (CDS) spreads as a plausible indicator of default risk. In this report, the authors present a significant correlation between CDS spreads and two other more acknowledged methods of measuring default risk probabilities; the modified Merton model and credit ratings from the rating institute Moody’s. LÄS MER