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Showing result 1 - 5 of 8 essays matching the above criteria.

  1. 1. 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

  3. 2. The Relation Between the Credit Default Swap and Corporate Bond Market

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Sofia Nilsson; Isabelle Sandahl; [2018]
    Keywords : Credit Default Swap; Corporate Bond Market; Credit Risk; Arbitrage Argument; Credit Ratings; Business and Economics;

    Abstract : The European credit default swap (CDS) market has experienced noticeable changes and remarkably developed over the last decades. Today, the relation between the CDS and corporate bond market is a prominent topic in the financial literature. READ MORE

  4. 3. Pricing Contingent Convertibles - in an intensity based model

    University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistik

    Author : Magnus Brandt; Caroline Hermansson; [2013-07-10]
    Keywords : Convertible bonds; Contingent convertibles CoCos ; Credit Default Swaps CDS ; CDS Spread; Credit Derivative approach;

    Abstract : As a result of the recent years financial instability, governments have developed new regulatory frameworks for bank capital adequacy. Authorities have become more aware of keeping capital as a buffer to absorb potential losses. Due to this, a new financial instrument, so-called Contingent convertibles (CoCos) have become more interesting. READ MORE

  5. 4. Do Acquisition Announcements Have an Effect on the Acquiring Firm’s Credit Default Swap Spread?

    University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistik

    Author : Markus Ahlberg; [2012-04-26]
    Keywords : Credit Default Swaps; Event Study; Mergers Acquisition; Information Content; Efficient Market Hypothesis;

    Abstract : Credit Default Swaps are a recent financial innovation that allow bond owners to minimize their credit risk exposure by purchasing an insurance on the bonds in their portfolio. By paying a quarterly fee to the protection seller, normally a financial institution, the protection insures that incase the issuer of bonds is unable to pay its interest; they will not lose any of their investment. READ MORE

  6. 5. Relationship Crisis?: - An Empirical Study of the Theoretical Equivalence Relationship between CDS and Bond Markets in a Time-Varying Context

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Andreas Regen; Johan Möllerström; [2010]
    Keywords : CDS spread; Bond spread; Cointegration; Price discovery; Negative basis;

    Abstract : This paper compares prices of traded European corporate credit risk in the CDS and bond market in a time-varying context. Theory predicts that the two markets would price credit risk equally in the long-run. However, our empirical findings between the two time periods chosen for this study contradict this theory. READ MORE