Essays about: "Credit Default Swaps CDS"

Showing result 6 - 10 of 32 essays containing the words Credit Default Swaps CDS.

  1. 6. Greenhouse Gas Footprint Minimization of Credit Default Swap Baskets

    University essay from Umeå universitet/Institutionen för matematik och matematisk statistik

    Author : Oscar Britse; Johan Jarnmo; [2018]
    Keywords : credit default swap; CDS; CDS basket; greenhouse gas; emission; iTraxx; CDX; portfolio optimization; ECOBAR; Markowitz;

    Abstract : Global bond market capitalization amounts to approximately $100 trillion, compared to $60 trillion in the equity markets. Despite debt financing being a large part of the global financial market, the measurements and greenhouse gas reduction investment strategies to date are not nearly as thorough as for equity financing. READ MORE

  3. 7. 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. 8. 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

  5. 9. Valuing Credit Default Swaps with a Structural Approach

    University essay from Lunds universitet/Matematisk statistik

    Author : Per Möller; [2015]
    Keywords : Mathematics and Statistics;

    Abstract : Valuing single-name Credit Default Swaps (CDS) is a dicult task since in order to make a fair valuation, one needs to assess the credit risk of the corresponding company. Many dierent models exist when it comes to modelling the credit risk, this report specically focuses on the branch of models named structural models. READ MORE

  6. 10. Evaluating Credit Default Swap spreads using the CreditGrades model - A study on European non-financial firms

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Jakob Melin; Stamatoula Pappa; [2015]
    Keywords : GARCH; trading strategies.; CreditGrades Model; credit default swap CDS ; credit risk; Business and Economics;

    Abstract : In our paper, we analyse Credit Default Swaps (CDSs) for 67 European non-financial companies between December 2004 and December 2014, focusing on the five-year maturity corporate CDS spreads. The period of analysis is divided into three sub-periods; before the financial crisis, during the global financial crisis and the European sovereign debt crisis. READ MORE