Essays about: "Niklas Rugås"

Found 1 essay containing the words Niklas Rugås.

  1. 1. A study on the relation between VIX, S&P500 and the CDX-index

    University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistik

    Author : Niklas Rugås; Alexander Winberg; [2015-02-26]
    Keywords : Implied volatility; Credit default swaps; Credit spreads; Stock index; Correlation;

    Abstract : In this thesis we investigate the relationship between the VIX-index, CDX NA IG and S&P500. Our goal is to study how well the market volatility (traded in VIX) can be explained by stock prices(S&P500) and credit indices (CDX NA IG) The VIX-index is a measure of implied volatility in the S&P500 and is often referred to as a fear index. CDX.NA. READ MORE