Sökning: "debt equity swap"

Hittade 5 uppsatser innehållade orden debt equity swap.

  1. 1. Duration-Weighted Carbon Footprint Metrics and Carbon Risk Factor for Credit Portfolios

    Master-uppsats, KTH/Matematisk statistik

    Författare :Erik Hendey Bröte; [2020]
    Nyckelord :Factor models; carbon footprint; risk factors; carbon risk; Faktormodeller; koldioxidsavtryck; riskfaktorer; kolrisk;

    Sammanfattning : Current standard carbon footprint metrics attribute responsibility for a firm’s green house gas (GHG) emitting activities equally between an entity’s equity and debt. This study introduces a set of novel duration-weighted metrics which take into consideration the length of financing provided. LÄS MER

  3. 2. 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. 3. Structural Modelling of Credit Spreads on the European Bond Market: An Empirical Study

    Master-uppsats, Lunds universitet/Matematisk statistik

    Författare :Marcus Zethraeus; Magnus Roos; [2017]
    Nyckelord :Structural models; Merton model; Black Cox model; European corporate bond spreads; Mathematics and Statistics;

    Sammanfattning : This thesis empirically tests the explanatory power of structural models on the European corporate bond market. Using new evaluation methods, including LASSO and gradient boosting regression, we can provide an in-depth assessment of the models’ shortcomings. LÄS MER

  5. 4. 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

  7. 5. 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