Essays about: "equity default swap"

Showing result 1 - 5 of 13 essays containing the words equity default swap.

1. 1. An Efficient Market Study of European CDS and Equity Markets

   University essay from Umeå universitet/Företagsekonomi

   Author : Fredric Wållberg; Leo Lundberg; [2022]
   Keywords : Efficient Market Theory; Financial Crash; Price Discovery Process; CDS;

   Abstract : This thesis investigates the price discovery process between the stock and the credit default swap market (CDS). We link the financial theory of efficient markets and the underlying models and conditions involved in CDSs, the stock market and financial crashes. READ MORE

3. 2. Greenhouse Gas Footprint Minimization of Credit Default Swap Baskets

   University essay from Umeå universitet/Institutionen för matematik och matematisk statistik

   Author : Oscar Britse; Johan Jarnmo; [2018]
   Keywords : credit default swap; CDS; CDS basket; greenhouse gas; emission; iTraxx; CDX; portfolio optimization; ECOBAR; Markowitz;

   Abstract : Global bond market capitalization amounts to approximately $100 trillion, compared to $60 trillion in the equity markets. Despite debt financing being a large part of the global financial market, the measurements and greenhouse gas reduction investment strategies to date are not nearly as thorough as for equity financing. READ MORE

4. 3. Structural Modelling of Credit Spreads on the European Bond Market: An Empirical Study

   University essay from Lunds universitet/Matematisk statistik

   Author : Marcus Zethraeus; Magnus Roos; [2017]
   Keywords : Structural models; Merton model; Black Cox model; European corporate bond spreads; Mathematics and Statistics;

   Abstract : This thesis empirically tests the explanatory power of structural models on the European corporate bond market. Using new evaluation methods, including LASSO and gradient boosting regression, we can provide an in-depth assessment of the models’ shortcomings. READ MORE

5. 4. Exploring the Factors of the Credit Default Swap Spread in Different Business Sectors

   University essay from KTH/Matematisk statistik

   Author : Kristofer Engman; Betty Ålander; [2017]
   Keywords : ;

   Abstract : In this study, we investigate the effect of market factors on credit default swap spreads aggregated by specific business sectors. The market factors include commodity spot prices, foreign exchange spot prices, equity index prices and interest swap rates. READ MORE

6. 5. Analysing Credit Default Swap Spreads of European Banks

   University essay from Lunds universitet/Företagsekonomiska institutionen

   Author : Jovita Latakaite; Mihaela Dor Neagu; [2014]
   Keywords : Credit Default Swaps; Credit Risk; European Banks; Structural Models of Credit Risk; Credit Ratings; Liquidity; Market Factors; Business and Economics;

   Abstract : This paper investigates the determinants of the credit default swaps changes of 34 European banks between January 2004 and December 2013. The sample period is further divided into four sub-periods covering both calm and turbulent times (pre-crisis, acute phase and less acute phase of the financial crisis, and the most recent European sovereign debt crisis). READ MORE