Sökning: "Kreditspreadar"

Hittade 4 uppsatser innehållade ordet Kreditspreadar.

  1. 1. Credit Index Forecasting: Stability of an Autoregressive Model

    Master-uppsats, KTH/Matematik (Avd.)

    Författare :Melker Wallén; Erik Grimlund; [2023]
    Nyckelord :Credit spreads; Time Series; Credit Risk; Index Modeling; Forecasting; Kreditspreadar; Tidsserier; Kreditrisk; Indexmodellering; Prognoser;

    Sammanfattning : This thesis investigates the robustness and stability of total return series for credit bond index investments. Dueto the challenges which arise for financial institutes and investors in achieving these objectives, we aim to createa forecasting model which matches the statistical properties of historical data, while remaining robust, stable andeasy to calibrate. LÄS MER

  3. 2. The impact of macro-economic indicators on credit spreads

    Master-uppsats, KTH/Matematisk statistik

    Författare :Marouane Brahimi; [2017]
    Nyckelord :;

    Sammanfattning : A model of credit spreads variations, based on macroeconomic and market variables, has been developed and presented in this paper. Credit spreads of speculative and investment grade bonds have been investigated, leading us to a linear relationship between their quarterly variations. LÄS MER

  4. 3. Drivkrafter bakom kreditspreaden för företagsobligationer - En studie på den europeiska utilitysektorn

    Kandidat-uppsats, Lunds universitet/Företagsekonomiska institutionen

    Författare :James Persson; Marie Mårtensson; Richard Winberg; [2013]
    Nyckelord :Defaultrisk; Kreditspreadpusslet; Utilitysektor; Kreditspread; Företagsobligationer; Likviditetsrisk; CDS; Business and Economics;

    Sammanfattning : The purpose of this study is to contribute to a better understanding of drivers of the credit spread for European corporate bonds issued by utility companies. The aim of this study is therefore to empirically examine how selected company-specific factors, as well as a macro variable, effect credit spreads. LÄS MER

  5. 4. Vilka är de huvudsakliga förklaringsvariablerna till kreditspreadarna på Euro-områdets obligationsmarknad?

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Joakim Larsson; [2012]
    Nyckelord :Business and Economics;

    Sammanfattning : Denna uppsats undersöker förklaringsvariabler till företagsobligationers kreditspreadar på euro-områdets obligationsmarknad under tre perioder som sträcker sig mellan 1999.12.31 – 2011.12. LÄS MER