Sökning: "credit-linked notes"

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  1. 1. On the pricing of Credit-Linked Notes: Evidence from the Swedish market

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

    Författare :Marc Axelsson; Tobias Renström; [2013]
    Nyckelord :structured products; interest certificates; credit-linked notes; reduced-form models;

    Sammanfattning : Based on international evidence of overpricing, we study the newly established Credit-linkednote (CLN) market in Sweden during the period 2012 - 2013. We derive a theoreticalpricing model based on a reduced form framework and value the outstanding CLNsin the Swedish market. Our results suggest significant and consistent overpricing, rangingfrom 0. LÄS MER