Essays about: "financial crisis CDS"

Showing result 1 - 5 of 21 essays containing the words financial crisis CDS.

1. 1. ON THE CVA OF CREDIT DEFAULT SWAPS: THE IMPLICATION OF DEPENDENCE USING A COPULA APPROACH

   University essay from Göteborgs universitet/Graduate School

   Author : Sebastian Alm; Joel Fredriksson Pregmark; [2023-06-29]
   Keywords : Credit Value Adjustment; Counterparty Credit Risk; Wrong Way Risk; Credit Default Swap; Semi-Analytical Model; Interest Rate Swap;

   Abstract : This study examines the nature and background to the Credit Value Adjustment(CVA), a concept that has gained focus due the it’s heightened importance for financial institutions subsequent to the 2008 financial crisis. CVA can be defined as the the price that should be added to the bilateral defaultable contract to adjust for the existing Counterparty Credit Risk (CCR) so that the contract will have the same value as a corresponding risk-free contract. READ MORE

3. 2. Modelling Proxy Credit Cruves Using Recurrent Neural Networks

   University essay from KTH/Matematisk statistik

   Author : Lucas Fageräng; Hugo Thoursie; [2023]
   Keywords : Deep Neural Networks; Credit Risk; Financial Modelling; LSTM; Credit Default Swaps; Credit Valuation Adjustment; Djupa Neurala Nätverk; Kreditrisk; Finansiell Modellering; LSTM; Kreditswappar; Kreditvärderingsjustering;

   Abstract : Since the global financial crisis of 2008, regulatory bodies worldwide have implementedincreasingly stringent requirements for measuring and pricing default risk in financialderivatives. Counterparty Credit Risk (CCR) serves as the measure for default risk infinancial derivatives, and Credit Valuation Adjustment (CVA) is the pricing method used toincorporate this default risk into derivatives prices. READ MORE

4. 3. 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

5. 4. Credit Default Swap Bond Basis Trading Opportunities in Times of Economic Uncertainty in European Financial Market

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Annemarie Troeger; Anne-Mari Kaur; [2020]
   Keywords : CDS-bond spread; Basis Trading; Volatility triggered exit; economic uncertainty; Business and Economics;

   Abstract : We investigated CDS-bond basis trading strategies during five different events, which possibly have caused market uncertainty on the European market. Those events include the peak of the Greek debt crisis (2015), Brexit announcement (2016), French presidential elections (2017), Tariffs on European Union (2018) and COVID-19 crisis (2020). READ MORE

6. 5. Systemic risk and bank equity valuation: A study of the market-to-book value and government guarantees

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Camilla Nydahl; Emma Rydén; [2019]
   Keywords : Government guarantees; Banks; Market-to-book value; Systemic risk; Financial crisis;

   Abstract : In previous research, it has been argued that a link exists between the equity valuation of a bank and its tail risk. The relationship has been attributed to government guarantees and how they create a synthetically low cost of debt, which increases the incentive to take on risk. READ MORE