Essays about: "CDS Spread"

Showing result 21 - 25 of 34 essays containing the words CDS Spread.

  1. 21. 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

  3. 22. Merton's Model Explaining CDS Spreads - a panel data study of OMX Stockholm traded firms

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Sandra Li Gustafson; Radu Mihai Milu; [2013]
    Keywords : Credit Risk; Credit Default Swap; CDS spread; Merton model; OMX Stockholm; Business and Economics;

    Abstract : Credit risk arises in almost all financial activities. One way to hedge and trade risk is to use Credit Default Swaps that act like an insurance against credit events. The value of the CDS is related to the probability of the reference entity defaulting. READ MORE

  4. 23. Do Acquisition Announcements Have an Effect on the Acquiring Firm’s Credit Default Swap Spread?

    University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistik

    Author : Markus Ahlberg; [2012-04-26]
    Keywords : Credit Default Swaps; Event Study; Mergers Acquisition; Information Content; Efficient Market Hypothesis;

    Abstract : Credit Default Swaps are a recent financial innovation that allow bond owners to minimize their credit risk exposure by purchasing an insurance on the bonds in their portfolio. By paying a quarterly fee to the protection seller, normally a financial institution, the protection insures that incase the issuer of bonds is unable to pay its interest; they will not lose any of their investment. READ MORE

  5. 24. Wide Spread Trade: Can terms of trade explain sovereign CDS spreads?

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Gustaf Folke; Carl-Adam von Schéele; [2011]
    Keywords : Credit risk; Terms of trade; Credit Default Swaps; Emerging markets; Sovereign;

    Abstract : This study reexamines the recent finding that level and volatility of terms of trade has significant explanatory power on spreads of emerging market sovereigns. In contradiction to previous results, we find no significant effect of these variables after controlling for global factors. Specifically, we find that the U.S. READ MORE

  6. 25. Stock Prices and CDS-spreads as Bank Default Indicators in the European Banking Sector

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Emelie Thordevall; [2011]
    Keywords : banking sector; default; stock; CDS; credit risk; Business and Economics;

    Abstract : The importance of the health of the banking sector cannot be underestimated, especially not after the recent financial crisis. Credit rating agencies base their ratings on backward-looking accounting information which cannot be used to predict a bank default. READ MORE