Sökning: "Credit default swaps"

Visar resultat 16 - 20 av 50 uppsatser innehållade orden Credit default swaps.

1. 16. Absolute & Relative Credit Quality Assessment

   Master-uppsats, Lunds universitet/Matematisk statistik

   Författare :Mattias Karlsson; Svante Dieden Sandell; [2016]
   Nyckelord :Credit Quality Assessment; Default Bankruptcy Prediction; Altman Z-score; Ohlson O-score; Logistic Regression; Rare-Event Bias Correction.; Mathematics and Statistics;

   Sammanfattning : The lack of availability and relevance of both credit ratings and traded market instruments, forces nancial institutions to nd alternative ways to validate the credit qualities of their counterparties. To address this issue, existing bankruptcy prediction models are evaluated and re-estimated. LÄS MER

3. 17. Default Correlations within Credit Valuation

   Master-uppsats, Lunds universitet/Matematisk statistik

   Författare :Sofie Svensson; [2016]
   Nyckelord :Mathematics and Statistics;

   Sammanfattning : This paper focuses on pricing of basket Credit Default Swaps. The credit market instruments such as CDSs and CDOs are introduced. The concepts of trading these derivatives in basket CDSs divided into tranches is also of big importance. Dierent pricing models are presented and compared. LÄS MER

4. 18. A study on the relation between VIX, S&P500 and the CDX-index

   Kandidat-uppsats, Göteborgs universitet/Institutionen för nationalekonomi med statistik

   Författare :Niklas Rugås; Alexander Winberg; [2015-02-26]
   Nyckelord :Implied volatility; Credit default swaps; Credit spreads; Stock index; Correlation;

   Sammanfattning : In this thesis we investigate the relationship between the VIX-index, CDX NA IG and S&P500. Our goal is to study how well the market volatility (traded in VIX) can be explained by stock prices(S&P500) and credit indices (CDX NA IG) The VIX-index is a measure of implied volatility in the S&P500 and is often referred to as a fear index. CDX.NA. LÄS MER

5. 19. Valuing Credit Default Swaps with a Structural Approach

   Master-uppsats, Lunds universitet/Matematisk statistik

   Författare :Per Möller; [2015]
   Nyckelord :Mathematics and Statistics;

   Sammanfattning : Valuing single-name Credit Default Swaps (CDS) is a dicult task since in order to make a fair valuation, one needs to assess the credit risk of the corresponding company. Many dierent models exist when it comes to modelling the credit risk, this report specically focuses on the branch of models named structural models. LÄS MER

7. 20. Evaluating Credit Default Swap spreads using the CreditGrades model - A study on European non-financial firms

   Master-uppsats, Lunds universitet/Nationalekonomiska institutionen

   Författare :Jakob Melin; Stamatoula Pappa; [2015]
   Nyckelord :GARCH; trading strategies.; CreditGrades Model; credit default swap CDS ; credit risk; Business and Economics;

   Sammanfattning : In our paper, we analyse Credit Default Swaps (CDSs) for 67 European non-financial companies between December 2004 and December 2014, focusing on the five-year maturity corporate CDS spreads. The period of analysis is divided into three sub-periods; before the financial crisis, during the global financial crisis and the European sovereign debt crisis. LÄS MER