Essays about: "cds firm"

Showing result 1 - 5 of 7 essays containing the words cds firm.

1. 1. The impact of ESG score on firm's cost of capital and riskiness

   University essay from

   Author : William Berntsson; [2019-07-05]
   Keywords : ;

   Abstract : This paper investigates the relationship between a firm´s Thomson Reuters ESG score and its weighted average cost of capital & implied credit default swap spread. The research is conducted on the Swedish stock exchanges and uses all available firms with an available ESG score. The effect is measured from 2017 to 2019. READ MORE

3. 2. Information Asymmetry and Discretionary Accounting in European Banks

   University essay from Göteborgs universitet/Graduate School

   Author : Simon Eliasson; [2016-09-15]
   Keywords : Information asymmetry; discretionary accounting; earnings management; capital markets; nancial institutions;

   Abstract : Recent theoretical research suggests that information risk is a non-diversifiable risk factor and should therefore affect the cost of capital of the individual firm. This study investigates this notion for listed European banks during the period 2005-2015. READ MORE

4. 3. Transfer of Sovereign Credit Risk to Corporate Borrowing Costs, Evidence from the European Debt Crisis

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Rohan Gupte; Joachim Rogne; [2015]
   Keywords : Sovereign Credit Risk; Corporate Borrowing Costs; Transfer Risk; Sovereign Debt Crisis; CDS Spreads;

   Abstract : This paper studies whether a risk transfer relationship exists between sovereigns and domestic firms in developed economies. We provide empirical evidence that increases in a government's perceived credit risk have considerable negative implications on its private sector by increasing firm cost of borrowing. READ MORE

5. 4. What Drives the Difference in Probability of Default from Reduced Form- and Structural Approaches

   University essay from Lunds universitet/Matematisk statistik

   Author : Madelene Larsson; Albin Ädel; [2014]
   Keywords : Keywords: Credit Default Swaps; CDS; probability of default; reduced form model; market price of risk; risk neutral measure; physical measure; elastic net.; Mathematics and Statistics;

   Abstract : This Master Thesis successfully explains the difference in probability of default implied by Credit Default Swaps, traded by the market, and the benchmark Moody’s EDFTM. The difference is explained by the market price of risk, related to the Girsanov kernel, allowing us to transform the risk neutral measure Q to the physical measure P. READ MORE

6. 5. Stock Liquidity as a Determinant of Credit Default Swap Spreads

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Mehmet Caglar Kaya; Radu-Dragomir Manac; [2013]
   Keywords : Turnover Ratio; Amihud Illliquidity; Bid-Ask Spread; Default Risk; Stock Liquidity; Credit Default Swaps; Business and Economics;

   Abstract : This research investigates the effect of stock liquidity on credit default swap spreads. The relationship between stock liquidity and CDS spreads is tested empirically using a panel data of 82 companies spanning a period of 64 months. READ MORE