Essays about: "corporate credit spreads"

Showing result 1 - 5 of 26 essays containing the words corporate credit spreads.

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. Financial Frontlines: Assessing the impact of the Russia-Ukraine conflict on the European corporate bond market

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Clemens Lässle; Ragnar Turesson; [2023]
   Keywords : Corporate bonds; Credit spreads; Russia-Ukraine war;

   Abstract : This paper investigates how European firms accessed the corporate bond market during the Russia-Ukraine war. Using a comprehensive dataset of European bond issues from 2017-2023, we find that fewer bonds were issued during the war than in previous periods, particularly Russian bonds and those denominated in Rubles. READ MORE

4. 3. Impact of ESG performance and carbon emissions on cost of debt : A study of the Nordic markets

   University essay from Uppsala universitet/Företagsekonomiska institutionen

   Author : Filip Larsson; Henrik Larsson; [2023]
   Keywords : ESG performance; carbon intensity; cost of debt; spreads; Refinitiv; ESG scores; CSR; sustainability; Nordics;

   Abstract : The study examines the link between the Environmental, Social and Governance (ESG) performance of a company and its cost of debt, measured as credit spreads between corresponding corporate and risk-free government bonds, in Nordic countries between 2020 and 2022. No previous studies look at ESG effects on bond spreads in the Nordic markets, although their stakeholder-oriented nature could make them attentive to ESG issues. READ MORE

5. 4. Credit Where Credit's Due: An Empirical Study of Defaults in the Swedish Corporate Bond Market Between 2004 and 2023

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Kristoffer Östlin; Ludvig Sviberg; [2023]
   Keywords : Corporate Bonds; Yield Spread; Default; Swedish Bond Market; Logit Regression Model;

   Abstract : This paper studies the relationship between bond defaults and yield spread, and other bond and company variables observable at issuance using a comprehensive dataset of matured and defaulted bonds from non-financial Swedish firms, covering the period 2004-2023. We find that higher yield spreads are correlated with higher default probabilities, particularly in the high-yield (HY) bond segment. READ MORE

6. 5. PEPP Talk: The Impact of the ECB's Pandemic Emergency Purchase Programme on the Corporate Bond Market

   University essay from Lunds universitet/Företagsekonomiska institutionen

   Author : Lorenzo Gianni Günther; Emma Lundblad; [2022]
   Keywords : Quantitative Easing; The European Central Bank; The Pandemic Emergency Purchase Programme; Corporate Bonds; Covid-19; Credit Spread; Business and Economics;

   Abstract : Purpose: This thesis aims to evaluate whether the ECB’s Pandemic Emergency Purchase Programme (PEPP) cushioned the Covid-19 crisis’ impact on the Euro area’s corporate bond market and relieved borrowing conditions. Methodology: The methodology is based upon unbalanced panel data and difference-in-differences regressions with firm-clustered standard errors. READ MORE