Essays about: "price cds"

Showing result 1 - 5 of 16 essays containing the words price 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. A Correlation Study on the Relationship between Credit Default Swap (CDS) Spreads and ESG Sentiment in the Banking Sector

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Mattias Olsson; Shabier Stanakzai; [2023]
    Keywords : ESG; Sentiment; CDS spreads.; Business and Economics;

    Abstract : This study examines the influence of online ESG sentiment on credit market price movement in the banking sector. By employing a panel regression model with fixed effect for firms and time, the study’s findings indicate an inverse relationship between online ESG sentiment and CDS spread in accordance, to some extent, with previous literature. 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. On the Proxy Modelling of Risk-Neutral Default Probabilities

    University essay from KTH/Matematisk statistik

    Author : Edvin Lundström; [2020]
    Keywords : Counterparty Credit Risk; Credit Valuation Adjustment; CVA; Credit modelling; Reduced form model; Proxy model; Hazard rate; Cross-section model; Nomura model; Motpartsrisk; Kreditvärderingsjustering; CVA; Kreditmodellering; Proxymodellering; Nomuramodellen;

    Abstract : Since the default of Lehman Brothers in 2008, it has become increasingly important to measure, manage and price the default risk in financial derivatives. Default risk in financial derivatives is referred to as counterparty credit risk (CCR). The price of CCR is captured in Credit Valuation Adjustment (CVA). READ MORE

  6. 5. The Relation Between the Credit Default Swap and Corporate Bond Market

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Sofia Nilsson; Isabelle Sandahl; [2018]
    Keywords : Credit Default Swap; Corporate Bond Market; Credit Risk; Arbitrage Argument; Credit Ratings; Business and Economics;

    Abstract : The European credit default swap (CDS) market has experienced noticeable changes and remarkably developed over the last decades. Today, the relation between the CDS and corporate bond market is a prominent topic in the financial literature. READ MORE