Essays about: "credit crisis"
Showing result 16 - 20 of 177 essays containing the words credit crisis.
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16. Macroeconomic Determinants of Sovereign Credit Risk
University essay fromAbstract : This report analyzes the macroeconomic determinants of sovereign bond yields in three different economies: the US, a large open economy and a benchmark in the financial markets, Sweden, a small open economy that has successfully dealt with financial crisis, and Italy, a large open economy with a history of financial distress. Cointegration techniques of the VECM and the ARDL model were used to derive the short-run and the long-run determinants of sovereign bond yields. READ MORE
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17. From a pandemic to a financial crisis?
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : The main objective of this study is to create a model that can predict the probability of a financial crisis and apply it to the Swedish economy of today. Using a logistical regression model, a quantitative study is conducted by investigating a cross-sectional data set covering 18 countries stretching over approximately 150 years. READ MORE
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18. PEPP Talk: The Impact of the ECB's Pandemic Emergency Purchase Programme on the Corporate Bond Market
University essay from Lunds universitet/Företagsekonomiska institutionenAbstract : 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
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19. The Expected Credit Loss Model's Impact on the Cyclicality of Credit Supply: A Study of the Implementation of IFRS 9
University essay from Handelshögskolan i Stockholm/Institutionen för redovisning och finansieringAbstract : The accounting standard for recognizing loan loss provisions changed in 2018 from IAS 39 to IFRS 9. IFRS 9 introduced the expected credit loss model (ECL), intended to be an improved alternative to its predecessor, the incurred credit loss model (ICL), which was criticized for the "too little, too late" provisioning during the 2008 financial crisis. READ MORE
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20. Performance of Stochastic Volatility and GARCH Models in Different Market Regimes
University essay from Lunds universitet/Statistiska institutionenAbstract : Reliable methods for estimating financial return volatility are crucial in many areas of trading and investing. Two such frameworks, the GARCH and SV, have been of particular interest to academics and practitioners alike. The GARCH model describes the variance of the current innovation as a function of the actual sizes of the previous innovations. READ MORE
