Essays about: "Credit Default Swap"

Showing result 6 - 10 of 55 essays containing the words Credit Default Swap.

  1. 6. Do CSR pillars have an effect on credit risk? An empirical comparison between Canadian and Mexican firms

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : German Portugal Valenzuela; Lourdes Angelica Garcia Braulio; [2022]
    Keywords : CSR; Corporate Social Responsibility; CSR Pillars; ESG; Credit Risk; Probability of Default; Credit Default Swap Spreads; Business and Economics;

    Abstract : This paper aims to empirically examine the effect, if any, of each Corporate Social Responsibility dimension (i.e., Environmental, Social, and Governance activities) on firms’ credit risk for two countries with a different CSR culture, Canada and Mexico. READ MORE

  3. 7. The Determinants of CDS Spreads During the COVID-19 Pandemic

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Anton Flygare; Fredrik Tingets; [2022]
    Keywords : Credit Default Swap; CDS spreads; Credit Risk; COVID-19; Business and Economics;

    Abstract : This paper investigates the determinants of CDS spreads in the US, following the spread of the COVID-19 pandemic in early 2020. The pandemic led to an increased volatility and credit risk, as supply and demand suffered. By introducing measures related to COVID-19 we try to explain changes in CDS spreads in the US during the pandemic. READ MORE

  4. 8. An Efficient Market Study of European CDS and Equity Markets

    University essay from Umeå universitet/Företagsekonomi

    Author : Fredric Wållberg; Leo Lundberg; [2022]
    Keywords : Efficient Market Theory; Financial Crash; Price Discovery Process; CDS;

    Abstract : This thesis investigates the price discovery process between the stock and the credit default swap market (CDS). We link the financial theory of efficient markets and the underlying models and conditions involved in CDSs, the stock market and financial crashes. READ MORE

  5. 9. 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

  6. 10. The impact of ESG score on firm's cost of capital and riskiness

    University essay from

    Author : William Berntsson; [2019-07-05]
    Keywords : ;

    Abstract : This paper investigates the relationship between a firm´s Thomson Reuters ESG score and its weighted average cost of capital & implied credit default swap spread. The research is conducted on the Swedish stock exchanges and uses all available firms with an available ESG score. The effect is measured from 2017 to 2019. READ MORE