Essays about: "CDS spreads"

Showing result 21 - 25 of 40 essays containing the words CDS spreads.

  1. 21. Macroeconomic Forces and Their Effects on the Swedish Banking Sector

    University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistik

    Author : Oscar Larsson; Marcus Johansson Prakt; [2013-03-20]
    Keywords : ;

    Abstract : After the bankruptcy of Lehman Brothers in September 2008 international capital markets trembled of uncertainty and investors did not know where the markets were heading. The market turmoil also had an impact on Sweden and especially on the banking sector due to the interdependence of international financial markets. READ MORE

  3. 22. 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

  4. 23. 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

  5. 24. Measuring credit risk: The relation between CDS Spreads, the modified Merton model and credit ratings

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Johannes Wedin; Christian Severinsson; [2013]
    Keywords : Credit Default Swaps; CDS spreads; credit ratings; Moody’s; the modified Merton model; risk assessment; measuring credit risk; Business and Economics;

    Abstract : Prior articles and reports have named Credit Default Swap (CDS) spreads as a plausible indicator of default risk. In this report, the authors present a significant correlation between CDS spreads and two other more acknowledged methods of measuring default risk probabilities; the modified Merton model and credit ratings from the rating institute Moody’s. READ MORE

  6. 25. RELATIONSHIP BETWEEN SOVEREIGN CREDIT DEFAULT SWAP AND STOCK MARKETS- The Case of East Asia     

    University essay from Företagsekonomi; Handelshögskolan vid Umeå universitet (USBE)

    Author : Serkalem Tilahun Basazinew; Aliaksandra Vashkevich; [2013]
    Keywords : sovereign credit risk; credit default swap; stock index; Merton model; price discovery; capital structure arbitrage; emerging market.;

    Abstract : When adjusted to sovereign entities, the structural credit risk model assumes a negative (positive) relationship between sovereign CDS spreads and stock prices (volatilities). In theory both markets are supposed to incorporate new information simultaneously. READ MORE