Essays about: "Cds bond spread"

Showing result 6 - 8 of 8 essays containing the words Cds bond spread.

  1. 6. The Decoupling of the CDS and Bond Markets: An Empirical Study of the CDS-Bond Basis of the Credit Crisis

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Fredrik Sundelin; Tommy Torwald; [2010]
    Keywords : Corporate Bonds; Credit Default Swaps; Credit Crisis; Basis;

    Abstract : We examine determinants of the credit default swap (CDS) prices, bond credit spreads and the CDS-bond basis of 62 U.S. firms during the period 2007 to 2009. We try to explain the basis by employing credit risk factors from structural models and by introducing a control for market liquidity as well as a funding liquidity factor. READ MORE

  3. 7. Credit Default Swap in a financial portfolio: angel or devil? : A study of the diversification effect of CDS during 2005-2010.

    University essay from Handelshögskolan vid Umeå universitet

    Author : Aliaksandra Vashkevich; Dong Wei Hu; [2010]
    Keywords : credit risk; credit derivative; credit default swap; credit spreads; portfolio diversification; investor;

    Abstract : Credit derivative market has experienced an exponential growth during the last 10 years with credit default swap (CDS) as an undoubted leader within this group. CDS contract is a bilateral agreement where the seller of the financial instrument provides the buyer the right to get reimbursed in case of the default in exchange for a continuous payment expressed as a CDS spread multiplied by the notional amount of the underlying debt. READ MORE

  4. 8. An Application of the Hull-White Model on CDS Spread Pricing

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Manshu Li; Sebastian Wright; [2009]
    Keywords : credit default swap; Yield Spread; CDS spread; Hull and White model.; Economics; econometrics; economic theory; economic systems; economic policy; Nationalekonomi; ekonometri; ekonomisk teori; ekonomiska system; ekonomisk politik; Business and Economics;

    Abstract : This study illustrates in detail the Hull and White reduced-from model for pricing CDS spreads and applied the model to real bond data. Following the assumption of the model, that the yield spread between a defaultable bond and a default-free bond only captures the probability of default, we aim at calculating a number of static CDS spread. READ MORE