Essays about: "Credit market index"

Showing result 1 - 5 of 28 essays containing the words Credit market index.

  1. 1. 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

  3. 2. Index replication within Corporate Investment Grade - With implementation of Lasso regression in order to analyze the impact of key figures

    University essay from KTH/Matematik (Avd.)

    Author : Shaida Faiqi; [2021]
    Keywords : Lasso Regression; Linear Programming; Index Tracking; Lasso regression; linjär programmering; index replikering;

    Abstract : The fixed income market is not as exploited as other markets and has a more complex structure compared with the equity market. On the other hand, it has been seen that demand for research for the fixed income market has increased, which in turn has created greater interest in studying the characteristics of holdings in the market. READ MORE

  4. 3. Application of Financial Conditions Index on the Swedish Housing Market

    University essay from Uppsala universitet/Nationalekonomiska institutionen

    Author : Otto Dahlin; [2021]
    Keywords : ;

    Abstract : The objective of this paper is to study what financial conditions determine the development of Swedish housing activity. For this purpose, this paper explores the possibilities of constructing a monthly financial conditions index (FCI) for the domestic housing activity between January 2009 and September 2021. READ MORE

  5. 4. Factors affecting liquidity in the Nordic corporate bond market : A study on MiFiR required post trade transactions

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

    Author : Lundholm Markus; [2021]
    Keywords : ;

    Abstract : The Nordic corporate bond market is a market growing in significance of the financial landscape, but is rather sparsely investigated due to its low transparency characteristics. Utilizing the new EU legislative framework MiFiR, this study implements a quantitative liquidity measure on transactions reported as required by MiFiR. READ MORE

  6. 5. Competition in the Credit Rating Industry: How Competition between Rating Agencies affects Rating Quality

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Fransiska Aspegrén; Philip Johansson; [2020]
    Keywords : Credit ratings; Credit rating agencies; Rating quality; Competition; Reputation;

    Abstract : Higher levels of competition between credit rating agencies on an industry-year level have previously been shown to decrease the rating quality of incumbent firm credit ratings after specific changes in the credit rating industry. We successfully replicate this research and extend it empirically, finding no evidence that this correlation holds for the time period 2010-2016. READ MORE