Essays about: "CDS spreads"

Showing result 6 - 10 of 40 essays containing the words CDS spreads.

  1. 6. On the Proxy Modelling of Risk-Neutral Default Probabilities

    University essay from KTH/Matematisk statistik

    Author : Edvin Lundström; [2020]
    Keywords : Counterparty Credit Risk; Credit Valuation Adjustment; CVA; Credit modelling; Reduced form model; Proxy model; Hazard rate; Cross-section model; Nomura model; Motpartsrisk; Kreditvärderingsjustering; CVA; Kreditmodellering; Proxymodellering; Nomuramodellen;

    Abstract : Since the default of Lehman Brothers in 2008, it has become increasingly important to measure, manage and price the default risk in financial derivatives. Default risk in financial derivatives is referred to as counterparty credit risk (CCR). The price of CCR is captured in Credit Valuation Adjustment (CVA). READ MORE

  3. 7. The Influence of Political Risk on CDS Spreads - Differences between banks and other large firms

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Ludvig Tingåker; Johan Bengtsson; [2017]
    Keywords : credit default swaps; political risk; credit risk; banks; Merton model; Business and Economics;

    Abstract : This thesis investigates the influence of country-specific political risk on credit default swap spreads. The research includes a sample of 30 companies over a time period of more than 13 years. The companies are divided into two sets of sub-groups, dependent on whether they are banks or not and which country they are based in. READ MORE

  4. 8. Information Asymmetry and Discretionary Accounting in European Banks

    University essay from Göteborgs universitet/Graduate School

    Author : Simon Eliasson; [2016-09-15]
    Keywords : Information asymmetry; discretionary accounting; earnings management; capital markets; nancial institutions;

    Abstract : Recent theoretical research suggests that information risk is a non-diversifiable risk factor and should therefore affect the cost of capital of the individual firm. This study investigates this notion for listed European banks during the period 2005-2015. READ MORE

  5. 9. Economic Policy Uncertainty and Credit Risk - A cross sectional analysis of company specific CDS spreads across nine industries in the U.S market

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Emma Carlsson; Olov Ryding Hallin; [2016]
    Keywords : Credit Default Swap; Credit Risk; Policy Uncertainty; EPU; Policy Making;

    Abstract : We analyse the effects political uncertainty has on the credit risk embedded in the term structure of single name credit default swap spreads across nine industries in the United States. After running a set of panel regressions, we find that economic policy uncertainty has a widening effect on the spreads. READ MORE

  6. 10. Valuing Credit Default Swaps with a Structural Approach

    University essay from Lunds universitet/Matematisk statistik

    Author : Per Möller; [2015]
    Keywords : Mathematics and Statistics;

    Abstract : Valuing single-name Credit Default Swaps (CDS) is a dicult task since in order to make a fair valuation, one needs to assess the credit risk of the corresponding company. Many dierent models exist when it comes to modelling the credit risk, this report specically focuses on the branch of models named structural models. READ MORE