Sökning: "credit default swap CDS"

Visar resultat 11 - 15 av 45 uppsatser innehållade orden credit default swap CDS.

  1. 11. 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

  3. 12. 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

  4. 13. Credit Risk Modeling and Implementation

    Master-uppsats, Umeå universitet/Institutionen för fysik

    Författare :Johan Gunnars; [2017]
    Nyckelord :CVA; CDS; hazard rate;

    Sammanfattning : The financial crisis and the bankruptcy of Lehman Brothers in 2008 lead to harder regulations for the banking industry which included larger capital reserves for the banks. One of the parts that contributed to this increased capital reserve was the the credit valuation adjustment capital charge which can be explained as the market value of the counterparty default risk. LÄS MER

  5. 14. Har Sveriges storbanker blivit säkrare?

    Kandidat-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Anton Ljung; [2017]
    Nyckelord :Kapitaltäckning; Basel-III; Credit Default Swap spread; Volatilitet; Business and Economics;

    Sammanfattning : Syftet med denna studie är att undersöka om marknadsrisken för de fyra svenska storbankerna har minskat i och med ökad kapitaltäckning. Finansiell teori implicerar att höjd kapitaltäckning bör resultera i minskad risk i aktiepriset. LÄS MER

  7. 15. The Influence of Political Risk on CDS Spreads - Differences between banks and other large firms

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Ludvig Tingåker; Johan Bengtsson; [2017]
    Nyckelord :credit default swaps; political risk; credit risk; banks; Merton model; Business and Economics;

    Sammanfattning : This thesis investigates the influence of country-specific political risk on credit default swap spreads. The research includes a sample of 30 companies over a time period of more than 13 years. The companies are divided into two sets of sub-groups, dependent on whether they are banks or not and which country they are based in. LÄS MER