Essays about: "CDS Spread"

Showing result 16 - 20 of 34 essays containing the words CDS Spread.

  1. 16. Earnings Announcements In The Credit Default Swap Market - An Event Study

    University essay from Uppsala universitet/Företagsekonomiska institutionen

    Author : Martin Johansson; Johanna Nederberg; [2014]
    Keywords : Credit default swaps; European CDS market; Earnings announcements; Earnings surprises; Event study; Market efficiency;

    Abstract : This paper investigates the European CDS markets response to earnings announcements between the years 2011-2013. Through the use of event study methodology, we investigate if the CDS market reacts to earnings news in terms of abnormal spread changes. READ MORE

  3. 17. Pricing Contingent Convertibles - in an intensity based model

    University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistik

    Author : Magnus Brandt; Caroline Hermansson; [2013-07-10]
    Keywords : Convertible bonds; Contingent convertibles CoCos ; Credit Default Swaps CDS ; CDS Spread; Credit Derivative approach;

    Abstract : As a result of the recent years financial instability, governments have developed new regulatory frameworks for bank capital adequacy. Authorities have become more aware of keeping capital as a buffer to absorb potential losses. Due to this, a new financial instrument, so-called Contingent convertibles (CoCos) have become more interesting. READ MORE

  4. 18. Credit Value Adjustment

    University essay from Lunds universitet/Matematisk statistik

    Author : Johan Ahlberg; [2013]
    Keywords : Basel III; Bilateral CVA; Counterparty credit risk; Credit value adjustment; CVA; CVA capital charge; DVA; OTC derivatives.; Mathematics and Statistics;

    Abstract : In this thesis the topic Counterparty Credit Risk in OTC derivative transactions is described and the pricing component arising from it, i.e., the Credit Value Adjustment (CVA), is discussed. READ MORE

  5. 19. The effect of credit rating announcements on CDS spreads - an empirical study of the European, American and Asian-Pacific CDS markets

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Dominika Krygier; [2013]
    Keywords : Credit rating; credit default swap spread; credit risk; event study; Moody’s; Business and Economics;

    Abstract : Credit default swap spreads and credit ratings are two indicators and measures of credit risk. A credit default swap is a type of financial derivative that protects the holder from any losses incurred by the reference entity in the case of a negative credit event, in return for an annual premium, the spread. READ MORE

  6. 20. The behavior of Credit Default Swaps

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Erik Eklund; [2013]
    Keywords : Credit default swap; Conditional variance; News impact asymmetry; Market correlation; Regression analysis; ARCH; EGARCH; Business and Economics;

    Abstract : Credit Default Swaps (CDS) have been subject to criticism since the break out of the economic turmoil in 2008, triggered by a weak housing market in the USA and the default of the investment bank Lehman Brothers. This essay analyses the relationship between the variance in Swedish stock market and CDS market during 2004 - 2009. READ MORE