Essays about: "equity-based modelling"

Found 1 essay containing the words equity-based modelling.

  1. 1. Trading in the Credit Derivatives market with equity-based Credit Default Swap spreads

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Martin Nilsson; Jakob Palmstierna; [2007]
    Keywords : credit default swap; Basel II; Capital Structure Arbitrage; Probability of Default; equity-based modelling; Economics; econometrics; economic theory; economic systems; economic policy; Nationalekonomi; ekonometri; ekonomisk teori; ekonomiska system; ekonomisk politik; Business and Economics;

    Abstract : This thesis gives an introduction to BASEL II and hence a motivation for the use of credit derivatives in general and Credit Default Swaps in particular. We develope (from Atlan and Leblanc (2005) and Bengtsson and Bjurhult (2006)) a model to price the CDS contracts and use this in a trading strategy - trying to find risk arbitrage. READ MORE