Sökning: "Sovereign Credit Default Swap"

Visar resultat 1 - 5 av 8 uppsatser innehållade orden Sovereign Credit Default Swap.

1. 1. ON THE CVA OF CREDIT DEFAULT SWAPS: THE IMPLICATION OF DEPENDENCE USING A COPULA APPROACH

   Master-uppsats, Göteborgs universitet/Graduate School

   Författare :Sebastian Alm; Joel Fredriksson Pregmark; [2023-06-29]
   Nyckelord :Credit Value Adjustment; Counterparty Credit Risk; Wrong Way Risk; Credit Default Swap; Semi-Analytical Model; Interest Rate Swap;

   Sammanfattning : This study examines the nature and background to the Credit Value Adjustment(CVA), a concept that has gained focus due the it’s heightened importance for financial institutions subsequent to the 2008 financial crisis. CVA can be defined as the the price that should be added to the bilateral defaultable contract to adjust for the existing Counterparty Credit Risk (CCR) so that the contract will have the same value as a corresponding risk-free contract. LÄS MER

3. 2. Investing in Emerging Markets: Environmental Performance and its Effect on Risk Profile

   Kandidat-uppsats, Lunds universitet/Ekonomisk-historiska institutionen

   Författare :Felicity Jaarnek; [2023]
   Nyckelord :CDS spread; sovereign debt; ESG; environment; emerging economies; Business and Economics;

   Sammanfattning : Debt has gained paramount importance for policy makers, stakeholders, and investors due to its far-reaching implications on economic stability, growth prospects, and financial resilience. Meanwhile, environmental conditions are increasing in importance when assessing credit risk. LÄS MER

4. 3. 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

5. 4. 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. 5. Determinants of the Sovereign Credit Default Swap Market

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

   Författare :Felix Roelkens; [2013]
   Nyckelord :Sovereign Credit Default Swap; Trading Volume Determinants; Credit Ratings; Empirical Analysis; DTCC Trading Data;

   Sammanfattning : This thesis investigates the determinants of sovereign CDS market activity for a sample of 59 sovereigns during the period of 2008 to 2012. The results indicate that CDS market activity is linked to global and country-specific factors, namely investors' global risk perceptions,the global business climate, the global financial sector health, the volatility of the local business climate and the ability to pay back USD denominated debt. LÄS MER