Essays about: "CDS spreads"
Showing result 11 - 15 of 40 essays containing the words CDS spreads.
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11. Market Reaction to Seasoned Equity Offerings by European Banks during the Recent Financial Crisis
University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiAbstract : This thesis attempts to assess the short-term costs of raising new equity for European banks during the recent crisis. We analyze the effect of seasoned equity offerings (SEOs) on stock prices and CDS spreads, using an event study methodology. READ MORE
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12. The impact of Credit Rating Announcements on Credit Default Swap Spreads - An empirical study of the North American Credit Default Swap Market before, during and after the global financial crisis of 2008-2009
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : A Credit Default Swap spread is a reliable measure of credit risk as it is the compensation demanded by a party to bear this risk. Officially, credit risk is denoted as credit ratings announced by credit rating agencies. READ MORE
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13. Evaluating Credit Default Swap spreads using the CreditGrades model - A study on European non-financial firms
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : In our paper, we analyse Credit Default Swaps (CDSs) for 67 European non-financial companies between December 2004 and December 2014, focusing on the five-year maturity corporate CDS spreads. The period of analysis is divided into three sub-periods; before the financial crisis, during the global financial crisis and the European sovereign debt crisis. READ MORE
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14. Trading CDS Indices vs. Equity Index Futures – A pairs trade
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : 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
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15. Transfer of Sovereign Credit Risk to Corporate Borrowing Costs, Evidence from the European Debt Crisis
University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiAbstract : 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
