Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
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Showing 1 to 14 of 14 for “"Credit Default Swaps (CDS)"”.
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The Informational Value of Corporate Credit Ratings
This thesis examines the quality of credit ratings issued by the three major credit rating agencies - Moody’s, Standard and Poor’s and Fitch. If credit ratings are informative, then prices of underlying credit instruments such as fixed-income securities and credit default insurance should change to …
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Deuda Soberana: Análisis del impacto de cambios en la calificación de riesgo crediticio en los Credit Default Swaps
… de cambios en las calificaciones de riesgo crediticio soberanas en el spread de los Credit Default Swaps (CDS) a nivel global entre 2012-2021. Demuestro que los cambios en las calificaciones proveen información valiosa al mercado, son económicamente relevantes y estadísticamente …
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Riesgo soberano: análisis de su comportamiento
… dicho riesgo, analizando con detalle los credit default swaps (CDS). Los principales objetivos son: - Diferenciar el concepto de riesgo país del de riesgo soberano. - Analizar las calificaciones crediticias soberanas. - Estudiar la evolución de la Deuda Pública y del PIB de países como …
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Three Essays in Empirical Asset Pricing
… of performing debt based event studies utilizing credit default swaps (CDS). It provides practical implementation advice to researchers to address limited source data and/or small target firm sample size.
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Essays on Auctions in Financial Markets
… The first chapter studies the market for Credit Default Swaps (CDS), which are financial derivative products that insure bond investors against default. Determining their payout is complicated because the volume of insurance is larger than the debt outstanding and the value of a bond is …
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Pricing Basket of Credit Default Swaps and Collateralised Debt Obligation by Lévy Linearly Correlated, Stochastically Correlated, and Randomly Loaded Factor Copula Models and Evaluated by the Fast and Very Fast Fourier Transform
… growth has been added to the volume of the credit risk derivatives market. This growth has been followed by the current financial market turbulence. These two periods have outlined how significant and important are the credit derivatives market and its products. Modelling-wise, this growth …
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Empirical essays on inferring information from options and other financial derivatives
… probabilities inferred from option prices and credit default swaps (CDS) spreads around the 2008 financial crisis in the U.S. market. Option pricing framework is used where the risk-neutral density of the underlying asset is assumed to be a mixture of two lognormals augmented with a probability …
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Essays on the Financial Sector Inefficiencies
… general equilibrium model including bank defaults and related agency costs. I find that pecuniary externalities exist in asset prices as decentralized banks do not internalize the effects of their lending on asset price distributions. These externalities lead to excess risk taking and …
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The effects of crisis on the interbank markets and sovereign risk: empirical investigations
… Great Depression. Starting with the sub-prime defaults in the United States, it quickly spills over into other markets leading to the collapses of many financial institutions, worldwide banks bailouts, downturns in asset prices and also to sovereign debt crises. The aim of this thesis is to …
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Essays in credit derivatives
… of three essays that examine various problems in credit derivatives. In the first essay, we propose a novel method to extract asset correlations from credit derivatives. Default correlation is a concern especially after witnessing the financial crisis. To find default correlations, we would like …
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Momentum, Nonlinear Price Discovery and Asymmetric Spillover: Sovereign Credit Risk and Equity Markets of Emerging Countries and
… response by agents to changes in sovereign credit or default risk in both quiet (low default risk) and turbulent markets (high default risk). These market conditions create two different states of the market (world) or regimes. Investors and policy makers respond differently in the two …
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Essays on risk assumption and liquidity management
This dissertation contains two chapters: one on CDS and the firm’s behaviour towards risk assumption and the other one corporate liquidity management in emerging markets. The abstracts for each chapter are as follows. Chapter 1: Credit Default Swaps and Risk-Shifting: Good News for Constrained …
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Three essays on contracting and corporate financing
… formation over the business cycle. Chapter 2: Credit Default Swaps, Firm Financing and the Economy Credit default swaps (CDSs) are thought to ease borrowing by protecting lenders against default. These contracts, however, entail a potential drawback: the ""empty creditor"" problem. This problem …