Essays about: "Credit default swap spread"

Showing result 1 - 5 of 29 essays containing the words Credit default swap spread.

1. 1. Modeling Credit Default Swap Spreads with Transformers : A Thesis in collaboration with Handelsbanken

   University essay from KTH/Skolan för elektroteknik och datavetenskap (EECS)

   Author : Johan Luhr; [2023]
   Keywords : Machine Learning; Transformer; Finance; Credit Default Swap; Credit Valuation Adjustment; Time Series Data; Maskininlärning; Transformer; Finance; Kreditswapp; Kredit Värderings Justering; Tidsserie data;

   Abstract : In the aftermath of the credit crisis in 2007, the importance of Credit Valuation Adjustment (CVA) rose in the Over The Counter (OTC) derivative pricing process. One important part of the pricing process is to determine Probability of Defaults (PDs) of the counterparty in question. READ MORE

3. 2. Investing in Emerging Markets: Environmental Performance and its Effect on Risk Profile

   University essay from Lunds universitet/Ekonomisk-historiska institutionen

   Author : Felicity Jaarnek; [2023]
   Keywords : CDS spread; sovereign debt; ESG; environment; emerging economies; Business and Economics;

   Abstract : Debt has gained paramount importance for policy makers, stakeholders, and investors due to its far-reaching implications on economic stability, growth prospects, and financial resilience. Meanwhile, environmental conditions are increasing in importance when assessing credit risk. READ MORE

4. 3. A Correlation Study on the Relationship between Credit Default Swap (CDS) Spreads and ESG Sentiment in the Banking Sector

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Mattias Olsson; Shabier Stanakzai; [2023]
   Keywords : ESG; Sentiment; CDS spreads.; Business and Economics;

   Abstract : This study examines the influence of online ESG sentiment on credit market price movement in the banking sector. By employing a panel regression model with fixed effect for firms and time, the study’s findings indicate an inverse relationship between online ESG sentiment and CDS spread in accordance, to some extent, with previous literature. READ MORE

5. 4. Do CSR pillars have an effect on credit risk? An empirical comparison between Canadian and Mexican firms

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : German Portugal Valenzuela; Lourdes Angelica Garcia Braulio; [2022]
   Keywords : CSR; Corporate Social Responsibility; CSR Pillars; ESG; Credit Risk; Probability of Default; Credit Default Swap Spreads; Business and Economics;

   Abstract : This paper aims to empirically examine the effect, if any, of each Corporate Social Responsibility dimension (i.e., Environmental, Social, and Governance activities) on firms’ credit risk for two countries with a different CSR culture, Canada and Mexico. READ MORE

6. 5. The Determinants of CDS Spreads During the COVID-19 Pandemic

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Anton Flygare; Fredrik Tingets; [2022]
   Keywords : Credit Default Swap; CDS spreads; Credit Risk; COVID-19; Business and Economics;

   Abstract : This paper investigates the determinants of CDS spreads in the US, following the spread of the COVID-19 pandemic in early 2020. The pandemic led to an increased volatility and credit risk, as supply and demand suffered. By introducing measures related to COVID-19 we try to explain changes in CDS spreads in the US during the pandemic. READ MORE