Essays about: "iTraxx"

Showing result 1 - 5 of 10 essays containing the word iTraxx.

  1. 1. The Swedish Value Premium and Disasters: The Missing Piece of the Puzzle?

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Majed Habash; David Öhlund; [2019]
    Keywords : The Value Premium; Disasters; Time-varying Risk;

    Abstract : This paper examines the value premium puzzle in Sweden for the period 2002 - 2016 and attempts to explain the puzzle by accounting for time-varying risk exposure with the inclusion of a proxy for financial disasters risk. The value premium is one of the most persistent financial anomalies and the reasons for its existence have been a hot topic for debate over the past years, with more recent research suggesting that it is a form of compensation for higher exposure to harsh economic downturns, or disasters. READ MORE

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

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

  3. 3. Algorithmic Trading in CDS and Equity Indices Using Statistical Arbitrage

    University essay from Lunds universitet/Matematisk statistik

    Author : Melker Samuelsson; Tobias Ek; [2017]
    Keywords : Algorithmic Trading; CDS indices; Equity futures; Markov Regime Switch ing Models; Cointegration; Mathematics and Statistics;

    Abstract : Historical data shows a strong relationship between hourly changes in CDS index iTraxx Main and equity futures EURO STOXX 50. We hypothesize that the relatively stable relationship should allow us to trade the two markets. READ MORE

  4. 4. Trading CDS Indices vs. Equity Index Futures – A pairs trade

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Daniel Alavei; Tobias Olsson; [2015]
    Keywords : Cointegration; Equity Index Future; CDS Index; Pairs Trading; Business and Economics;

    Abstract : In this thesis we use a unique data set to show that there is a cointegrating relationship between the EURO STOXX 50 index and the Markit iTraxx Europe index that can be exploited through trading. As far as we know, we are the first ones to write about trading this pair in an academic paper. READ MORE

  5. 5. Is Default Risk Systematic? An Augmentation of the Fama and French Three-Factor Model with Credit-Default Swap Spreads

    University essay from Lunds universitet/Företagsekonomiska institutionen

    Author : Philip Hagander; Karl Egervall; [2013]
    Keywords : DEFAULT RISK; FAMA AND MACBETH; EQUITY PRICING; SYSTEMATIC RISK; FACTOR MIMICKING PORTFOLIO TECHNIQUE.; Business and Economics;

    Abstract : The purpose of the study is to quantitatively verify the systematic property of default risk and to statistically test if adding a default risk factor to the Fama and French Three-Factor Model can enhance its performance. The applied method is derived from the Fama and French Three- factor methodology and enhancing it with an additional default risk factor. READ MORE