Sökning: "European CDS market"

Visar resultat 1 - 5 av 17 uppsatser innehållade orden European CDS market.

1. 1. An Efficient Market Study of European CDS and Equity Markets

   Master-uppsats, Umeå universitet/Företagsekonomi

   Författare :Fredric Wållberg; Leo Lundberg; [2022]
   Nyckelord :Efficient Market Theory; Financial Crash; Price Discovery Process; CDS;

   Sammanfattning : This thesis investigates the price discovery process between the stock and the credit default swap market (CDS). We link the financial theory of efficient markets and the underlying models and conditions involved in CDSs, the stock market and financial crashes. LÄS MER

3. 2. Credit Default Swap Bond Basis Trading Opportunities in Times of Economic Uncertainty in European Financial Market

   Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

   Författare :Annemarie Troeger; Anne-Mari Kaur; [2020]
   Nyckelord :CDS-bond spread; Basis Trading; Volatility triggered exit; economic uncertainty; Business and Economics;

   Sammanfattning : We investigated CDS-bond basis trading strategies during five different events, which possibly have caused market uncertainty on the European market. Those events include the peak of the Greek debt crisis (2015), Brexit announcement (2016), French presidential elections (2017), Tariffs on European Union (2018) and COVID-19 crisis (2020). LÄS MER

4. 3. Systemic risk and bank equity valuation: A study of the market-to-book value and government guarantees

   D-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Författare :Camilla Nydahl; Emma Rydén; [2019]
   Nyckelord :Government guarantees; Banks; Market-to-book value; Systemic risk; Financial crisis;

   Sammanfattning : In previous research, it has been argued that a link exists between the equity valuation of a bank and its tail risk. The relationship has been attributed to government guarantees and how they create a synthetically low cost of debt, which increases the incentive to take on risk. LÄS MER

5. 4. The Relation Between the Credit Default Swap and Corporate Bond Market

   Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

   Författare :Sofia Nilsson; Isabelle Sandahl; [2018]
   Nyckelord :Credit Default Swap; Corporate Bond Market; Credit Risk; Arbitrage Argument; Credit Ratings; Business and Economics;

   Sammanfattning : The European credit default swap (CDS) market has experienced noticeable changes and remarkably developed over the last decades. Today, the relation between the CDS and corporate bond market is a prominent topic in the financial literature. LÄS MER

7. 5. Credit rating impact on the CDS market: the case of PIIGS countries coving European debt crisis period

   D-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Författare :Xiaoan Zhou; [2018]
   Nyckelord :Sovereign Credit Rating; Credit Rating Agencies; CDS market; Sovereign CDS spread; European debt crisis;

   Sammanfattning : In this paper, I analyze the impact of sovereign debt rating to CDS market under PIIGS (Portugal, Italy, Ireland, Greece and Spain) context during the European Debt Crisis. Via panel regression, I find country's sovereign rating and outlook have significant impact on the CDS market during the pre-crisis period. LÄS MER