Sökning: "credit default swap CDS"

Visar resultat 21 - 25 av 45 uppsatser innehållade orden credit default swap CDS.

  1. 21. A Value-at-Risk Analysis of Credit Default Swaps and Stocks: Evidence from the European and North American Market

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

    Författare :Valeria Collu; Denise Bretlaender; [2014]
    Nyckelord :Value-at-Risk; credit risk; equity risk; historical simulation; credit default swaps;

    Sammanfattning : This thesis analyzes credit and equity risk during the period from September 2006 to September 2014. The sample includes pairs of credit default swap (CDS) spreads and stock prices for 113 European and 93 North American companies. LÄS MER

  3. 22. Earnings Announcements In The Credit Default Swap Market - An Event Study

    Master-uppsats, Uppsala universitet/Företagsekonomiska institutionen

    Författare :Martin Johansson; Johanna Nederberg; [2014]
    Nyckelord :Credit default swaps; European CDS market; Earnings announcements; Earnings surprises; Event study; Market efficiency;

    Sammanfattning : This paper investigates the European CDS markets response to earnings announcements between the years 2011-2013. Through the use of event study methodology, we investigate if the CDS market reacts to earnings news in terms of abnormal spread changes. LÄS MER

  4. 23. 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

  5. 24. The effect of credit rating announcements on CDS spreads - an empirical study of the European, American and Asian-Pacific CDS markets

    Kandidat-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Dominika Krygier; [2013]
    Nyckelord :Credit rating; credit default swap spread; credit risk; event study; Moody’s; Business and Economics;

    Sammanfattning : Credit default swap spreads and credit ratings are two indicators and measures of credit risk. A credit default swap is a type of financial derivative that protects the holder from any losses incurred by the reference entity in the case of a negative credit event, in return for an annual premium, the spread. LÄS MER

  7. 25. Measuring credit risk: The relation between CDS Spreads, the modified Merton model and credit ratings

    Kandidat-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Johannes Wedin; Christian Severinsson; [2013]
    Nyckelord :Credit Default Swaps; CDS spreads; credit ratings; Moody’s; the modified Merton model; risk assessment; measuring credit risk; Business and Economics;

    Sammanfattning : Prior articles and reports have named Credit Default Swap (CDS) spreads as a plausible indicator of default risk. In this report, the authors present a significant correlation between CDS spreads and two other more acknowledged methods of measuring default risk probabilities; the modified Merton model and credit ratings from the rating institute Moody’s. LÄS MER