Essays about: "iTraxx"

Showing result 6 - 10 of 11 essays containing the word iTraxx.

1. 6. 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

3. 7. Do Acquisition Announcements Have an Effect on the Acquiring Firm’s Credit Default Swap Spread?

   University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistik

   Author : Markus Ahlberg; [2012-04-26]
   Keywords : Credit Default Swaps; Event Study; Mergers Acquisition; Information Content; Efficient Market Hypothesis;

   Abstract : Credit Default Swaps are a recent financial innovation that allow bond owners to minimize their credit risk exposure by purchasing an insurance on the bonds in their portfolio. By paying a quarterly fee to the protection seller, normally a financial institution, the protection insures that incase the issuer of bonds is unable to pay its interest; they will not lose any of their investment. READ MORE

4. 8. Credit derivatives in Swedish banks : Both sides of the coin

   University essay from Institutionen för ekonomisk och industriell utveckling; Filosofiska fakulteten

   Author : Karin Boman; Émile Sohier; [2011]
   Keywords : Credit derivatives; credit default swap; collateralized debt obligation; Swedish banks; risk management; hedging; central clearing; OTC;

   Abstract : Background: The financial crisis of 2007-2010 had a massive impact on the financial markets worldwide. The crisis was partly blamed on the credit derivatives collateralized debt obligations and credit default swaps. These instruments were used to create leverage and speculation, which led to uncertainty in the financial system worldwide. READ MORE

5. 9. The effect of changes in credit rating on CDS spreads: - An empirical study of European companies rated by Standard & Poor´s, Moody´s and Fitch

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Olof Made; Tommy Olszamowski; [2008]
   Keywords : CDS; Credit Default Swap; Credit Ratings; Event study; iTraxx; Europe;

   Abstract : A company’s credit default swap spread is the cost per annum for protection against a default by the company. In this paper we investigate the effect of credit rating announcements on the credit default spreads in Europe. We find all announcement types except Downgrade to be statistically significant. READ MORE

6. 10. A Comparative Analysis of Hyperbolic Copulas Induced by a One Factor Lévy Model

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Henrik Brunlid; [2007]
   Keywords : credit derivatives; copulas; CDO; CSO; loss distribution; hyperbolic distributions; iTraxx; Economics; econometrics; economic theory; economic systems; economic policy; Nationalekonomi; ekonometri; ekonomisk teori; ekonomiska system; ekonomisk politik; Business and Economics;

   Abstract : In the credit derivatives market, the observed default correlation smile, implied by the Gaussian copula, constitutes a major problem when we want to price bespoke CDO tranches. The industry standard approach for countering this dilemma is to use the concept of base correlation to try to estimate the ingoing default correlation parameters for non-standard tranche intervals. READ MORE