Essays about: "CreditGrades model"

Found 4 essays containing the words CreditGrades model.

  1. 1. 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

  3. 2. Are Banks in Switzerland Too-Big-To-Fail?

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Aleksandra Mraovic; Qian Zhang; [2014]
    Keywords : Too-big-to-fail; Credit Default Swaps; CreditGrades model; Structural model; Business and Economics;

    Abstract : Too-big-to-fail has been a subject of controversy and has gained much attention in the course of the sub-prime financial crisis 2007-2009. Subjects related under this topic for instance are usually about the excessive risk taken by the government, and moral hazard. READ MORE

  4. 3. Too-Big-to-Fail: A Study on the Swedish Banking System during the Financial Crisis

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Henrik Nilsson; Sten Tärnbro; [2013]
    Keywords : Too-big-to-fail; Credit default swaps; CreditGrades; Financial crisis;

    Abstract : Too-big-to-fail is a highly debated subject that has gained widespread attention during the latest financial crisis of 2007-2009. Many negative externalities are associated with too-big-to-fail such as excessive risk-taking and overleveraging. In our paper, we present an overview of what too-big-to-fail is and its consequences. READ MORE

  5. 4. Credit default swaps and CreditGrades: Evidence from the Nordic markets

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : David Krieg; David Berneheim; [2009]
    Keywords : credit risk; credit default swap; Creditgrades; CDS spread; Structural model; Nordic markets; Economics; econometrics; economic theory; economic systems; economic policy; Nationalekonomi; ekonometri; ekonomisk teori; ekonomiska system; ekonomisk politik; Business and Economics;

    Abstract : This study examines and compares theoretical CDS spreads created by a structural framework with empirical CDS spreads. The model employed is the CreditGrades model based on the Merton framework from 1974 which calculate default probabilities and credit spreads from balance sheet and equity data. READ MORE