Essays about: "Credit Default Swaps CDS"

Showing result 16 - 20 of 32 essays containing the words Credit Default Swaps CDS.

  1. 16. Earnings Announcements In The Credit Default Swap Market - An Event Study

    University essay from Uppsala universitet/Företagsekonomiska institutionen

    Author : Martin Johansson; Johanna Nederberg; [2014]
    Keywords : Credit default swaps; European CDS market; Earnings announcements; Earnings surprises; Event study; Market efficiency;

    Abstract : This paper investigates the European CDS markets response to earnings announcements between the years 2011-2013. Through the use of event study methodology, we investigate if the CDS market reacts to earnings news in terms of abnormal spread changes. READ MORE

  3. 17. Determinants of corporate CDS spreads in the Eurozone - Is there a spillover effect from sovereign to corporate credit risk?

    University essay from Lunds universitet/Företagsekonomiska institutionen

    Author : Ronald Kromer; Etrit Vllasalija; [2014]
    Keywords : CDS determinants; spillover effect; corporate credit risk; sovereign credit risk; credit default swaps; Eurozone; Business and Economics;

    Abstract : We study the determinants of corporate CDS spreads for 125 companies headquartered in the Eurozone, with an emphasis on sovereign CDS spreads as a main determinant of corporate CDS spreads in levels and changes. This is done by analyzing financial companies, as well as non-financial companies. READ MORE

  4. 18. 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. 19. Measuring credit risk: The relation between CDS Spreads, the modified Merton model and credit ratings

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Johannes Wedin; Christian Severinsson; [2013]
    Keywords : Credit Default Swaps; CDS spreads; credit ratings; Moody’s; the modified Merton model; risk assessment; measuring credit risk; Business and Economics;

    Abstract : Prior articles and reports have named Credit Default Swap (CDS) spreads as a plausible indicator of default risk. In this report, the authors present a significant correlation between CDS spreads and two other more acknowledged methods of measuring default risk probabilities; the modified Merton model and credit ratings from the rating institute Moody’s. READ MORE

  6. 20. The behavior of Credit Default Swaps

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Erik Eklund; [2013]
    Keywords : Credit default swap; Conditional variance; News impact asymmetry; Market correlation; Regression analysis; ARCH; EGARCH; Business and Economics;

    Abstract : Credit Default Swaps (CDS) have been subject to criticism since the break out of the economic turmoil in 2008, triggered by a weak housing market in the USA and the default of the investment bank Lehman Brothers. This essay analyses the relationship between the variance in Swedish stock market and CDS market during 2004 - 2009. READ MORE