Essays about: "CDS indices"

Found 5 essays containing the words CDS indices.

  1. 1. An Efficient Market Study of European CDS and Equity Markets

    University essay from Umeå universitet/Företagsekonomi

    Author : Fredric Wållberg; Leo Lundberg; [2022]
    Keywords : Efficient Market Theory; Financial Crash; Price Discovery Process; CDS;

    Abstract : This thesis investigates the price discovery process between the stock and the credit default swap market (CDS). We link the financial theory of efficient markets and the underlying models and conditions involved in CDSs, the stock market and financial crashes. READ MORE

  3. 2. Credit Default Swap Bond Basis Trading Opportunities in Times of Economic Uncertainty in European Financial Market

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Annemarie Troeger; Anne-Mari Kaur; [2020]
    Keywords : CDS-bond spread; Basis Trading; Volatility triggered exit; economic uncertainty; Business and Economics;

    Abstract : We investigated CDS-bond basis trading strategies during five different events, which possibly have caused market uncertainty on the European market. Those events include the peak of the Greek debt crisis (2015), Brexit announcement (2016), French presidential elections (2017), Tariffs on European Union (2018) and COVID-19 crisis (2020). READ MORE

  4. 3. Greenhouse Gas Footprint Minimization of Credit Default Swap Baskets

    University essay from Umeå universitet/Institutionen för matematik och matematisk statistik

    Author : Oscar Britse; Johan Jarnmo; [2018]
    Keywords : credit default swap; CDS; CDS basket; greenhouse gas; emission; iTraxx; CDX; portfolio optimization; ECOBAR; Markowitz;

    Abstract : Global bond market capitalization amounts to approximately $100 trillion, compared to $60 trillion in the equity markets. Despite debt financing being a large part of the global financial market, the measurements and greenhouse gas reduction investment strategies to date are not nearly as thorough as for equity financing. READ MORE

  5. 4. Algorithmic Trading in CDS and Equity Indices Using Statistical Arbitrage

    University essay from Lunds universitet/Matematisk statistik

    Author : Melker Samuelsson; Tobias Ek; [2017]
    Keywords : Algorithmic Trading; CDS indices; Equity futures; Markov Regime Switch ing Models; Cointegration; Mathematics and Statistics;

    Abstract : Historical data shows a strong relationship between hourly changes in CDS index iTraxx Main and equity futures EURO STOXX 50. We hypothesize that the relatively stable relationship should allow us to trade the two markets. READ MORE

  6. 5. Trading CDS Indices vs. Equity Index Futures – A pairs trade

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Daniel Alavei; Tobias Olsson; [2015]
    Keywords : Cointegration; Equity Index Future; CDS Index; Pairs Trading; Business and Economics;

    Abstract : In this thesis we use a unique data set to show that there is a cointegrating relationship between the EURO STOXX 50 index and the Markit iTraxx Europe index that can be exploited through trading. As far as we know, we are the first ones to write about trading this pair in an academic paper. READ MORE