Sökning: "Credit Spread"
Visar resultat 1 - 5 av 122 uppsatser innehållade orden Credit Spread.
1. Modeling Credit Default Swap Spreads with Transformers : A Thesis in collaboration with Handelsbanken
Master-uppsats, KTH/Skolan för elektroteknik och datavetenskap (EECS)Sammanfattning : In the aftermath of the credit crisis in 2007, the importance of Credit Valuation Adjustment (CVA) rose in the Over The Counter (OTC) derivative pricing process. One important part of the pricing process is to determine Probability of Defaults (PDs) of the counterparty in question. LÄS MER
2. Portfolio Risk Modelling in Venture Debt
Master-uppsats, KTH/Matematisk statistikSammanfattning : This thesis project is an experimental study on how to approach quantitative portfolio credit risk modelling in Venture Debt portfolios. Facing a lack of applicable default data from ArK and publicly available sets, as well as seeking to capture companies that fail to service debt obligations before defaulting per se, we present an approach to risk modeling based on trends in revenue. LÄS MER
3. Financial Frontlines: Assessing the impact of the Russia-Ukraine conflict on the European corporate bond market
D-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiSammanfattning : This paper investigates how European firms accessed the corporate bond market during the Russia-Ukraine war. Using a comprehensive dataset of European bond issues from 2017-2023, we find that fewer bonds were issued during the war than in previous periods, particularly Russian bonds and those denominated in Rubles. LÄS MER
4. Investing in Emerging Markets: Environmental Performance and its Effect on Risk Profile
Kandidat-uppsats, Lunds universitet/Ekonomisk-historiska institutionenSammanfattning : Debt has gained paramount importance for policy makers, stakeholders, and investors due to its far-reaching implications on economic stability, growth prospects, and financial resilience. Meanwhile, environmental conditions are increasing in importance when assessing credit risk. LÄS MER
5. An Evaluation of Leading Indicators in the Context of a Swedish Recession
Master-uppsats, Lunds universitet/Nationalekonomiska institutionenSammanfattning : The aim of this paper is to evaluate potential leading indicators of a recession in Sweden. To answer the question potential leading indicators are first identified with previous findings in literature and with the current state of the Swedish financial system as background. LÄS MER