Essays about: "Credit Default Swap"

Showing result 21 - 25 of 55 essays containing the words Credit Default Swap.

  1. 21. Central Counterparties. A Numerical Implementation of the Default Waterfall

    University essay from Göteborgs universitet/Graduate School

    Author : Karl Ejvegård; Christian Romaniello; [2016-09-21]
    Keywords : Risk Management; Central Counterparty; Risk; Stochastic Models; Monte Carlo Simulation; Mixed Binomial Models; Interest Rate Swap;

    Abstract : This thesis studies so called Central Counterparties (CCP), nancial institutions which consist of clearing members, such as large banks. CCPs have the role of centralizing, mutualizing and reducing counterparty risk, by acting as an intermediate in nancial transactions. READ MORE

  3. 22. On the Determinants of Underpricing in Corporate Bond Offerings

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Björn Aronsson; Daniel Tano; [2016]
    Keywords : Bond Underpricing; Underpricing; Initial Bond Offering; Swedish Bond Market; Credit Default Swap; Business and Economics;

    Abstract : Money is often left on the table when corporations issue new securities. Explanations for the underpricing phenomenon are often related to information asymmetry between the investor and the issuer. In this study we investigate factors affecting underpricing on corporate bonds in the Swedish market. READ MORE

  4. 23. 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

  5. 24. 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

  6. 25. The impact of Credit Rating Announcements on Credit Default Swap Spreads - An empirical study of the North American Credit Default Swap Market before, during and after the global financial crisis of 2008-2009

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Andreas Luczak; Laurynas Ruzgas; [2015]
    Keywords : credit rating announcements; credit default swap spread; CDS spreads; event study; Moody’s; credit rating agencies; financial crisis; recession; Business and Economics;

    Abstract : A Credit Default Swap spread is a reliable measure of credit risk as it is the compensation demanded by a party to bear this risk. Officially, credit risk is denoted as credit ratings announced by credit rating agencies. READ MORE