Essays about: "Tommy Torwald"

Found 1 essay containing the words Tommy Torwald.

  1. 1. The Decoupling of the CDS and Bond Markets: An Empirical Study of the CDS-Bond Basis of the Credit Crisis

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Fredrik Sundelin; Tommy Torwald; [2010]
    Keywords : Corporate Bonds; Credit Default Swaps; Credit Crisis; Basis;

    Abstract : We examine determinants of the credit default swap (CDS) prices, bond credit spreads and the CDS-bond basis of 62 U.S. firms during the period 2007 to 2009. We try to explain the basis by employing credit risk factors from structural models and by introducing a control for market liquidity as well as a funding liquidity factor. READ MORE