Sökning: "credit default swap"

Visar resultat 11 - 15 av 65 uppsatser innehållade orden credit default swap.

1. 11. The Swedish Value Premium and Disasters: The Missing Piece of the Puzzle?

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

   Författare :Majed Habash; David Öhlund; [2019]
   Nyckelord :The Value Premium; Disasters; Time-varying Risk;

   Sammanfattning : This paper examines the value premium puzzle in Sweden for the period 2002 - 2016 and attempts to explain the puzzle by accounting for time-varying risk exposure with the inclusion of a proxy for financial disasters risk. The value premium is one of the most persistent financial anomalies and the reasons for its existence have been a hot topic for debate over the past years, with more recent research suggesting that it is a form of compensation for higher exposure to harsh economic downturns, or disasters. LÄS MER

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

   Master-uppsats, 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. 13. 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. 14. 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

7. 15. A study of the Basel III CVA formula

   Kandidat-uppsats,

   Författare :Rickard Olovsson; Erik Sundberg; [2017-07-03]
   Nyckelord :Basel III; Credit Value Adjustment; Counterparty Credit Risk; Credit Default Swap; Interest Rate Swap; Piecewise Constant Default Intensity; Bootstrapping; Expected Exposure; Internal Model Method;

   Sammanfattning : In this thesis we compare the official Basel III method for computing credit value adjustment (CVA) against a model that assumes piecewise constant default intensities for a number of both market and fictive scenarios. CVA is defined as the price deducted from the risk-free value of a bilateral derivative to adjust for the counterparty credit risk. LÄS MER