Sökning: "credit default swap CDS"

Visar resultat 1 - 5 av 38 uppsatser innehållade orden credit default swap CDS.

  1. 1. 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

  2. 2. The impact of ESG score on firm's cost of capital and riskiness


    Författare :William Berntsson; [2019-07-05]
    Nyckelord :;

    Sammanfattning : This paper investigates the relationship between a firm´s Thomson Reuters ESG score and its weighted average cost of capital & implied credit default swap spread. The research is conducted on the Swedish stock exchanges and uses all available firms with an available ESG score. The effect is measured from 2017 to 2019. LÄS MER

  3. 3. Greenhouse Gas Footprint Minimization of Credit Default Swap Baskets

    Master-uppsats, Umeå universitet/Institutionen för matematik och matematisk statistik; Umeå universitet/Institutionen för matematik och matematisk statistik

    Författare :Oscar Britse; Johan Jarnmo; [2018]
    Nyckelord :credit default swap; CDS; CDS basket; greenhouse gas; emission; iTraxx; CDX; portfolio optimization; ECOBAR; Markowitz;

    Sammanfattning : Global bond market capitalization amounts to approximately $100 trillion, compared to $60 trillion in the equity markets. Despite debt financing being a large part of the global financial market, the measurements and greenhouse gas reduction investment strategies to date are not nearly as thorough as for equity financing. LÄS MER

  4. 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

  5. 5. An Extreme Value Approach To Pricing Credit Risk

    Master-uppsats, Lunds universitet/Matematisk statistik

    Författare :Sofia Landin; [2018]
    Nyckelord :Credit Risk; Credit Default Swap; Credit Valuation Adjustment; Extreme Value Theory; Generalized Extreme Value Distribution; Gumbel Distribution; Generalized Pareto Distribution; Block Maxima; Peak-over-Threshold; Probable Maximum Loss; Mathematics and Statistics;

    Sammanfattning : An Extreme Value Approach To Pricing Credit Risk will outline the possibility to investigate a company’s price of risk over different time periods given a pre-defined risk level. With help of credit default swap (CDS) prices and extreme value theory the credit risk can be estimated for different return levels. LÄS MER