Essays about: "Credit rating cds"

Showing result 1 - 5 of 14 essays containing the words Credit rating cds.

  1. 1. Modeling Credit Default Swap Spreads with Transformers : A Thesis in collaboration with Handelsbanken

    University essay from KTH/Skolan för elektroteknik och datavetenskap (EECS)

    Author : Johan Luhr; [2023]
    Keywords : Machine Learning; Transformer; Finance; Credit Default Swap; Credit Valuation Adjustment; Time Series Data; Maskininlärning; Transformer; Finance; Kreditswapp; Kredit Värderings Justering; Tidsserie data;

    Abstract : In the aftermath of the credit crisis in 2007, the importance of Credit Valuation Adjustment (CVA) rose in the Over The Counter (OTC) derivative pricing process. One important part of the pricing process is to determine Probability of Defaults (PDs) of the counterparty in question. READ MORE

  3. 2. The Relation Between the Credit Default Swap and Corporate Bond Market

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Sofia Nilsson; Isabelle Sandahl; [2018]
    Keywords : Credit Default Swap; Corporate Bond Market; Credit Risk; Arbitrage Argument; Credit Ratings; Business and Economics;

    Abstract : The European credit default swap (CDS) market has experienced noticeable changes and remarkably developed over the last decades. Today, the relation between the CDS and corporate bond market is a prominent topic in the financial literature. READ MORE

  4. 3. Credit rating impact on the CDS market: the case of PIIGS countries coving European debt crisis period

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Xiaoan Zhou; [2018]
    Keywords : Sovereign Credit Rating; Credit Rating Agencies; CDS market; Sovereign CDS spread; European debt crisis;

    Abstract : In this paper, I analyze the impact of sovereign debt rating to CDS market under PIIGS (Portugal, Italy, Ireland, Greece and Spain) context during the European Debt Crisis. Via panel regression, I find country's sovereign rating and outlook have significant impact on the CDS market during the pre-crisis period. READ MORE

  5. 4. Market Reaction to Seasoned Equity Offerings by European Banks during the Recent Financial Crisis

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Pierdomenico Polito; Jannes Pietschmann; [2015]
    Keywords : European banks; Capital ratio; Crisis; Seasoned equity offerings;

    Abstract : This thesis attempts to assess the short-term costs of raising new equity for European banks during the recent crisis. We analyze the effect of seasoned equity offerings (SEOs) on stock prices and CDS spreads, using an event study methodology. READ MORE

  6. 5. 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