Sökning: "Credit default swap spread"
Visar resultat 1 - 5 av 36 uppsatser innehållade orden Credit default swap 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. 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
3. A Correlation Study on the Relationship between Credit Default Swap (CDS) Spreads and ESG Sentiment in the Banking Sector
Magister-uppsats, Lunds universitet/Nationalekonomiska institutionenSammanfattning : This study examines the influence of online ESG sentiment on credit market price movement in the banking sector. By employing a panel regression model with fixed effect for firms and time, the study’s findings indicate an inverse relationship between online ESG sentiment and CDS spread in accordance, to some extent, with previous literature. LÄS MER
4. Do CSR pillars have an effect on credit risk? An empirical comparison between Canadian and Mexican firms
Magister-uppsats, Lunds universitet/Nationalekonomiska institutionenSammanfattning : This paper aims to empirically examine the effect, if any, of each Corporate Social Responsibility dimension (i.e., Environmental, Social, and Governance activities) on firms’ credit risk for two countries with a different CSR culture, Canada and Mexico. LÄS MER
5. The Determinants of CDS Spreads During the COVID-19 Pandemic
Magister-uppsats, Lunds universitet/Nationalekonomiska institutionenSammanfattning : This paper investigates the determinants of CDS spreads in the US, following the spread of the COVID-19 pandemic in early 2020. The pandemic led to an increased volatility and credit risk, as supply and demand suffered. By introducing measures related to COVID-19 we try to explain changes in CDS spreads in the US during the pandemic. LÄS MER