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1. 1. Merton's Model Explaining CDS Spreads - a panel data study of OMX Stockholm traded firms

   Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

   Författare :Sandra Li Gustafson; Radu Mihai Milu; [2013]
   Nyckelord :Credit Risk; Credit Default Swap; CDS spread; Merton model; OMX Stockholm; Business and Economics;

   Sammanfattning : Credit risk arises in almost all financial activities. One way to hedge and trade risk is to use Credit Default Swaps that act like an insurance against credit events. The value of the CDS is related to the probability of the reference entity defaulting. LÄS MER