Sökning: "Credit default swaps"

Visar resultat 21 - 25 av 50 uppsatser innehållade orden Credit default swaps.

  1. 21. Credit Value Adjustment: The Aspects of Pricing Counterparty Credit Risk on Interest Rate Swaps

    Master-uppsats, KTH/Matematisk statistik

    Författare :Martin Hellander; [2015]
    Nyckelord :OTC derivatives; Credit Value Adjustment; Debit Value Adjustment; wrongway risk; interest rate swaps; LIBOR Market Model; Cox-Ingersoll-Ross process.;

    Sammanfattning : In this thesis, the pricing of counterparty credit risk on an OTC plain vanilla interest rate swap is investigated. Counterparty credit risk can be defined as the risk that a counterparty in a financial contract might not be able or willing to fulfil their obligations. This risk has to be taken into account in the valuation of an OTC derivative. LÄS MER

  3. 22. Valuation of Interest Rate Swaps in the presence of Counterparty Credit Risk

    Master-uppsats, Göteborgs universitet/Graduate School

    Författare :Robin Axelsson; [2014-11-26]
    Nyckelord :Interest Rate Swaps; Counterparty Credit Risk;

    Sammanfattning : Insuring debt through credit default swaps (CDS) and collateralized debt obligations (CDO) has become increasingly more popular. Recent events such as the financial crisis of 2008 have shown that the credit models for these insurances have lacked severely in certain aspects. LÄS MER

  4. 23. Are Banks in Switzerland Too-Big-To-Fail?

    Master-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Aleksandra Mraovic; Qian Zhang; [2014]
    Nyckelord :Too-big-to-fail; Credit Default Swaps; CreditGrades model; Structural model; Business and Economics;

    Sammanfattning : Too-big-to-fail has been a subject of controversy and has gained much attention in the course of the sub-prime financial crisis 2007-2009. Subjects related under this topic for instance are usually about the excessive risk taken by the government, and moral hazard. LÄS MER

  5. 24. Analysing Credit Default Swap Spreads of European Banks

    Magister-uppsats, Lunds universitet/Företagsekonomiska institutionen

    Författare :Jovita Latakaite; Mihaela Dor Neagu; [2014]
    Nyckelord :Credit Default Swaps; Credit Risk; European Banks; Structural Models of Credit Risk; Credit Ratings; Liquidity; Market Factors; Business and Economics;

    Sammanfattning : This paper investigates the determinants of the credit default swaps changes of 34 European banks between January 2004 and December 2013. The sample period is further divided into four sub-periods covering both calm and turbulent times (pre-crisis, acute phase and less acute phase of the financial crisis, and the most recent European sovereign debt crisis). LÄS MER

  7. 25. What Drives the Difference in Probability of Default from Reduced Form- and Structural Approaches

    Master-uppsats, Lunds universitet/Matematisk statistik

    Författare :Madelene Larsson; Albin Ädel; [2014]
    Nyckelord :Keywords: Credit Default Swaps; CDS; probability of default; reduced form model; market price of risk; risk neutral measure; physical measure; elastic net.; Mathematics and Statistics;

    Sammanfattning : This Master Thesis successfully explains the difference in probability of default implied by Credit Default Swaps, traded by the market, and the benchmark Moody’s EDFTM. The difference is explained by the market price of risk, related to the Girsanov kernel, allowing us to transform the risk neutral measure Q to the physical measure P. LÄS MER