Sökning: "credit default swap CDS"

Visar resultat 16 - 20 av 45 uppsatser innehållade orden credit default swap CDS.

1. 16. Economic Policy Uncertainty and Credit Risk - A cross sectional analysis of company specific CDS spreads across nine industries in the U.S market

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

   Författare :Emma Carlsson; Olov Ryding Hallin; [2016]
   Nyckelord :Credit Default Swap; Credit Risk; Policy Uncertainty; EPU; Policy Making;

   Sammanfattning : We analyse the effects political uncertainty has on the credit risk embedded in the term structure of single name credit default swap spreads across nine industries in the United States. After running a set of panel regressions, we find that economic policy uncertainty has a widening effect on the spreads. LÄS MER

3. 17. Pricing Credit Default Index Swaptions A numerical evaluation of pricing models

   Master-uppsats, Göteborgs universitet/Graduate School

   Författare :Erik Sveder; Edvard Johansson; [2015-07-13]
   Nyckelord :Credit Default Index Swaptions; Options on CDS Indices; Credit Derivatives; Credit Default Swap; Credit Default Swaption; Credit Default Index Swap; Credit Risk; Credit Risk Modelling; Intensity-based Mod- elling; Black-Scholes;

   Sammanfattning : This study examines the background and nature of the credit default index swaption (CDIS) and presents relevant methods for modelling credit risk. A CDIS is a credit derivative contract that gives the buyer right to enter into a credit default index swap (CDS index) contract at a given point in time. LÄS MER

4. 18. The impact of Credit Rating Announcements on Credit Default Swap Spreads - An empirical study of the North American Credit Default Swap Market before, during and after the global financial crisis of 2008-2009

   Kandidat-uppsats, Lunds universitet/Nationalekonomiska institutionen

   Författare :Andreas Luczak; Laurynas Ruzgas; [2015]
   Nyckelord :credit rating announcements; credit default swap spread; CDS spreads; event study; Moody’s; credit rating agencies; financial crisis; recession; Business and Economics;

   Sammanfattning : A Credit Default Swap spread is a reliable measure of credit risk as it is the compensation demanded by a party to bear this risk. Officially, credit risk is denoted as credit ratings announced by credit rating agencies. LÄS MER

5. 19. 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

7. 20. 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