Sökning: "default contagion"

Visar resultat 1 - 5 av 7 uppsatser innehållade orden default contagion.

1. 1. Sovereign Default, Risk-Averse Investors and the World Interest Rate

   D-uppsats, Handelshögskolan i Stockholm/Institutionen för nationalekonomi

   Författare :Martina Dosser; [2021]
   Nyckelord :Sovereign Default; International Lending; Government Bonds; International Contagion; Risk Premia;

   Sammanfattning : Empirical evidence suggests that global factors, such as the world interest rate and the degree of risk-aversion of international investors, are key drivers of sovereign spreads in emerging economies. Building on this evidence, this paper extends a model of strategic sovereign default to account for both a time-varying world interest rate and risk-averse international investors, in order to study the impact of these factors on sovereign debt prices and default incentives. LÄS MER

3. 2. IN SEARCH OF A PARSIMONIOUS BANKRUPTCY MODEL FOR PRIVATE FIRMS AND THE COST TO LENDERS

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

   Författare :John-Edward Olingsberg; Oscar Küntzel; [2019]
   Nyckelord :Private Default Prediction; Hazard Model; Basel III; Misclassification Costs; Parsimonious;

   Sammanfattning : This paper comprehensively reviews in excess of 200 financial and non-financial covariates in search of a parsimonious bankruptcy prediction model for the private market. Financial and real-estate companies aside, the entire population of Swedish independent, limited liability companies are examined between 1998-2017 corresponding to 245,844 unique companies and 55,411 corporate default events. LÄS MER

4. 3. The Implications of Financial Network Architecture on the Stability of a Banking System

   D-uppsats, Handelshögskolan i Stockholm/Institutionen för nationalekonomi

   Författare :Michal Tulwin; [2017]
   Nyckelord :Banking Crisis; Financial Market; Insolvency; Network Formation;

   Sammanfattning : The structure of interbank connections affects financial system's resilience to shocks. This thesis determines the implications of network's architecture on stability of a banking system. LÄS MER

5. 4. Default Correlations within Credit Valuation

   Master-uppsats, Lunds universitet/Matematisk statistik

   Författare :Sofie Svensson; [2016]
   Nyckelord :Mathematics and Statistics;

   Sammanfattning : This paper focuses on pricing of basket Credit Default Swaps. The credit market instruments such as CDSs and CDOs are introduced. The concepts of trading these derivatives in basket CDSs divided into tranches is also of big importance. Dierent pricing models are presented and compared. LÄS MER

7. 5. Measuring Contagion Effects in the Swedish Banking Sector using Round by Round Simulation

   Master-uppsats, Örebro universitet/Handelshögskolan vid Örebro Universitet

   Författare :Tobias Killmann; [2013]
   Nyckelord :;

   Sammanfattning : Banks play a central role in the Swedish financial markets by covering over 50% of total assets and providing essential intermediary services. The financing opportunities over the interbank market are highly important for a well performing financial system and consequently for the whole economy. LÄS MER