Credit Default Swap, which factors affect the price?

University essay from Lunds universitet/Företagsekonomiska institutionen

Author: Johan Fransson; Anders Westlund; [2005]

Keywords: credit default swap; credit derivatives; regression; credit risk; risk management; Management of enterprises; Företagsledning; management; Business and Economics;

Abstract: Our thesis present a model that is trying to explain the price of credit default swaps. The model consists of five variables. By using a linear multiple regression model, we find that all of the variables are affecting the price of the swap. However, some variables are only present in a few cases. We believe that our model captures a large part of the price of the credit default swap, but that there are still other factors or variables that are affecting the price

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