Essays about: "CDX"

Found 2 essays containing the word CDX.

  1. 1. Greenhouse Gas Footprint Minimization of Credit Default Swap Baskets

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

  2. 2. A study on the relation between VIX, S&P500 and the CDX-index

    University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistik

    Author : Niklas Rugås; Alexander Winberg; [2015-02-26]
    Keywords : Implied volatility; Credit default swaps; Credit spreads; Stock index; Correlation;

    Abstract : In this thesis we investigate the relationship between the VIX-index, CDX NA IG and S&P500. Our goal is to study how well the market volatility (traded in VIX) can be explained by stock prices(S&P500) and credit indices (CDX NA IG) The VIX-index is a measure of implied volatility in the S&P500 and is often referred to as a fear index. CDX.NA. READ MORE