Essays about: "thesis in CDS"

Showing result 31 - 35 of 48 essays containing the words thesis in CDS.

  1. 31. Valuation of Interest Rate Swaps in the presence of Counterparty Credit Risk

    University essay from Göteborgs universitet/Graduate School

    Author : Robin Axelsson; [2014-11-26]
    Keywords : Interest Rate Swaps; Counterparty Credit Risk;

    Abstract : Insuring debt through credit default swaps (CDS) and collateralized debt obligations (CDO) has become increasingly more popular. Recent events such as the financial crisis of 2008 have shown that the credit models for these insurances have lacked severely in certain aspects. READ MORE

  3. 32. What Drives the Difference in Probability of Default from Reduced Form- and Structural Approaches

    University essay from Lunds universitet/Matematisk statistik

    Author : Madelene Larsson; Albin Ädel; [2014]
    Keywords : Keywords: Credit Default Swaps; CDS; probability of default; reduced form model; market price of risk; risk neutral measure; physical measure; elastic net.; Mathematics and Statistics;

    Abstract : This Master Thesis successfully explains the difference in probability of default implied by Credit Default Swaps, traded by the market, and the benchmark Moody’s EDFTM. The difference is explained by the market price of risk, related to the Girsanov kernel, allowing us to transform the risk neutral measure Q to the physical measure P. READ MORE

  4. 33. A Value-at-Risk Analysis of Credit Default Swaps and Stocks: Evidence from the European and North American Market

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Valeria Collu; Denise Bretlaender; [2014]
    Keywords : Value-at-Risk; credit risk; equity risk; historical simulation; credit default swaps;

    Abstract : This thesis analyzes credit and equity risk during the period from September 2006 to September 2014. The sample includes pairs of credit default swap (CDS) spreads and stock prices for 113 European and 93 North American companies. READ MORE

  5. 34. Potential Induced Degradation of CIGS Solar Cells

    University essay from Uppsala universitet/Fasta tillståndets elektronik

    Author : Fredrik Rostvall; [2014]
    Keywords : CIGS; Solar Cells; Sodium;

    Abstract : This thesis studies the effects of Na diffusion in Cu(In,Ga)Se2 (CIGS) solar cells,caused by electrical Potential Induced Degradation (PID) and how to prevent it. Thiswas done by subjecting CIGS solar cells a temperature of 850C and an electrical biasfrom the backside of the glass substrate to the Mo back contact of the CIGS cell. READ MORE

  6. 35. Pricing Contingent Convertibles - in an intensity based model

    University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistik

    Author : Magnus Brandt; Caroline Hermansson; [2013-07-10]
    Keywords : Convertible bonds; Contingent convertibles CoCos ; Credit Default Swaps CDS ; CDS Spread; Credit Derivative approach;

    Abstract : As a result of the recent years financial instability, governments have developed new regulatory frameworks for bank capital adequacy. Authorities have become more aware of keeping capital as a buffer to absorb potential losses. Due to this, a new financial instrument, so-called Contingent convertibles (CoCos) have become more interesting. READ MORE