Sökning: "Credit default swaps"
Visar resultat 1 - 5 av 48 uppsatser innehållade orden Credit default swaps.
1. ON THE CVA OF CREDIT DEFAULT SWAPS: THE IMPLICATION OF DEPENDENCE USING A COPULA APPROACH
Master-uppsats, Göteborgs universitet/Graduate SchoolSammanfattning : This study examines the nature and background to the Credit Value Adjustment(CVA), a concept that has gained focus due the it’s heightened importance for financial institutions subsequent to the 2008 financial crisis. CVA can be defined as the the price that should be added to the bilateral defaultable contract to adjust for the existing Counterparty Credit Risk (CCR) so that the contract will have the same value as a corresponding risk-free contract. LÄS MER
2. 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
3. Pricing of Embedded Options: Implementing Stochastic Interest Rates & Stochastic Spread
Master-uppsats, Lunds universitet/Matematisk statistikSammanfattning : Given the current market climate, in an era of negative interest-rates, the Hull-White model has regained popularity in the eyes of investors. This thesis aims to extend this model to incorporate credit risk, to allow the modelling of credit derivatives such as diff swaps, defaultable corporate bonds and credit default swaps. LÄS MER
4. Model for Central Counterparty Risk with Stochastic Default Intensities
Master-uppsats, Göteborgs universitet/Graduate SchoolSammanfattning : In this thesis we use a dynamic model to compute several margins required by a central counterparty, the central clearing house (CCP), to the participants, called clearing members (CM). These margins form the so called default waterfall. In this market only credit default swaps (CDS) are exchanged. LÄS MER
5. Quantitative Easing Effect on Bank Profitability : A study on the relationship between quantitative easing and bank profitability in Sweden
Kandidat-uppsats, Jönköping University/Internationella HandelshögskolanSammanfattning : We analyse the effects of quantitative easing (QE) on Swedish bank profitability on the four largest banks in Sweden between 2015-2021 by utilizing daily stock prices as a proxy for bank profit. Using an event study approach, we find that QE has a significant positive effect on bank profitability in Sweden as wholesale funding conditions improve. LÄS MER