Sökning: "moody s"

Visar resultat 16 - 20 av 37 uppsatser innehållade orden moody s.

  1. 16. 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

  3. 17. Riskhantering och kreditvärdighet : En undersökning av Enterprise Risk Management och dess relation till företags kreditbetyg

    Uppsats för yrkesexamina på avancerad nivå, Institutionen för organisation och entreprenörskap (OE)

    Författare :Amra Mislimi; Jenny Andersson; [2013]
    Nyckelord :Riskhantering; Kreditvärdighet; Enterprise Risk Management; Kreditbetyg;

    Sammanfattning : Background: Investors use companies’ credit ratings as a base in their buy and sell decisions. Companies’ credit ratings are also used as indicators of safety in the legislation. LÄS MER

  4. 18. A Model Implementation of Incremental Risk Charge

    Magister-uppsats, KTH/Matematisk statistik

    Författare :Mikael Forsman; [2012]
    Nyckelord :;

    Sammanfattning : Abstract In 2009 the Basel Committee on Banking Supervision released the final guidelines for computing capital for the Incremental Risk Charge, which is a complement to the traditional Value at Risk intended to measure the migration risk and the default risk in the trading book. Before Basel III banks will have to develop their own Incremental Risk Charge model following these guidelines. LÄS MER

  5. 19. Kreditbetyg och Riskpremier

    Kandidat-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Filip Forslund; Henrik Björk; [2012]
    Nyckelord :Kreditvärderingsinstitut; kreditbetyg; riskpremier; räntespridning; Moody s; Standard and Poor s; Fitch; Business and Economics;

    Sammanfattning : Länders kreditbetyg är ständigt i fokus i dagens europeiska skuldkris. I denna uppsats undersöks därför vilka riskpremier som kan förväntas till följd av ändringar i kreditbetyg eller utsikter från något av de tre största kreditvärderingsinstituten; Moody´s, Standard and Poor´s och Fitch. LÄS MER

  7. 20. Rating Changes - Can they be predicted with the Merton model?

    Magister-uppsats, Lunds universitet/Företagsekonomiska institutionen

    Författare :Simone Rebeggiani; Marcus Westerlund; [2012]
    Nyckelord :The Merton model; credit risk; credit rating; rating changes; rating prediction; Business and Economics;

    Sammanfattning : Purpose: The purpose of the thesis was to investigate if the Merton model had any predictive power of changes in Moody’s credit ratings and if there was a difference in the predictability between upgrades and downgrades. This was done in an effort to either support or dismiss the opinion that credit ratings are lagging. LÄS MER