Essays about: "Credit Default Swap"

Showing result 16 - 20 of 55 essays containing the words Credit Default Swap.

  1. 16. Structural Modelling of Credit Spreads on the European Bond Market: An Empirical Study

    University essay from Lunds universitet/Matematisk statistik

    Author : Marcus Zethraeus; Magnus Roos; [2017]
    Keywords : Structural models; Merton model; Black Cox model; European corporate bond spreads; Mathematics and Statistics;

    Abstract : This thesis empirically tests the explanatory power of structural models on the European corporate bond market. Using new evaluation methods, including LASSO and gradient boosting regression, we can provide an in-depth assessment of the models’ shortcomings. READ MORE

  3. 17. Credit Risk Modeling and Implementation

    University essay from Umeå universitet/Institutionen för fysik

    Author : Johan Gunnars; [2017]
    Keywords : CVA; CDS; hazard rate;

    Abstract : The financial crisis and the bankruptcy of Lehman Brothers in 2008 lead to harder regulations for the banking industry which included larger capital reserves for the banks. One of the parts that contributed to this increased capital reserve was the the credit valuation adjustment capital charge which can be explained as the market value of the counterparty default risk. READ MORE

  4. 18. Exploring the Factors of the Credit Default Swap Spread in Different Business Sectors

    University essay from KTH/Matematisk statistik

    Author : Kristofer Engman; Betty Ålander; [2017]
    Keywords : ;

    Abstract : In this study, we investigate the effect of market factors on credit default swap spreads aggregated by specific business sectors. The market factors include commodity spot prices, foreign exchange spot prices, equity index prices and interest swap rates. READ MORE

  5. 19. 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

  6. 20. CVA for IR-Swaps under Wrong Way Risk. A numerical evaluation using a semi-analytical model

    University essay from Göteborgs universitet/Graduate School

    Author : Berglind Halldórsdóttir; Weili Zhang; [2016-09-21]
    Keywords : Credit Value Adjustment; Wrong Way Risk; Interest Rate Swap; Credit Default Swap; Homogeneous CVA Portfolio; Heterogeneous CVA Portfolio; Semi-Analytical Model;

    Abstract : This thesis examines the background and nature of credit value adjustment (CVA), a concept that has heightened in its importance in the financial market after the 2008 financial crisis. Credit value adjustment is defined as a price deducted from the risk-free value of a bilateral derivative to adjust for the counterparty credit risk (CCR). READ MORE