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 20 of 23 for “"Credit default swap"”.
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Estimating credit default swap spreads from equity data
… risk. These risks include liquidity, market and credit risk. This dissertation will focus on the modelling of a corporate bond's credit risk by considering how to estimate the credit default swap (CDS) spread of a firm's bond. A structural credit model will be used to do this. In this …
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How Does Trust Impact Sovereign Credit Default Swap Spreads?
… or transaction, particularly within sovereign credit default swap (SCDS) markets, yet the question of its impact on its pricing has been left unanswered. This thesis seeks to analyse the spreads of SCDS across a wide range of countries and answer the question: how does the level of trust that …
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How Does Trust Impact Sovereign Credit Default Swap Spreads?
… or transaction, particularly within sovereign credit default swap (SCDS) markets, yet the question of its impact on its pricing has been left unanswered. This thesis seeks to analyse the spreads of SCDS across a wide range of countries and answer the question: how does the level of trust that …
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Intangible assets and default risk: an examination of the credit default swap market
… I examine the impact of intangible assets on default risk. Extant research primarily focuses on the relevancy of intangible assets in the equity markets, but the relevance of intangible assets in the credit markets has not been extensively explored. In fact, due to the differences between …
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Credit default swaps in a roll-over risk framework
Spreads between swap legs referencing floating cashflows of different tenors have widened significantly since the global financial crisis of 2008. This frequency basis can be explained by the presence of “roll-over risk”. Defining the roll-over risk state variables in an affine form, this …
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Essays on Financial Markets
… dislocations that are caused by the creation of credit default swap indexes. Using exogenous variation around credit index inclusions, I show that the difference in credit default swap and cash bond spreads (known as the CDS-bond basis) is driven by variation in credit index inclusion. Each …
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Essays on Empirical Asset Pricing
… Two examines the informational content of credit default swap (CDS) net notional for future stock and CDS prices. Using the information on CDS contracts registered in DTCC, a clearinghouse, I construct CDS-to-debt ratios from net notional, that is, the sum of net positive positions of all …
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Credit derivatives in Brazil
The amounts outstanding of credit derivatives have grown exponentially over the past years, and these financial intruments that allow market participants to trade credit risk have become very popular in Europe and in the United States. Although the Central Bank of Brazil passed regulation in 2002 …
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Essays on credit default swaps
… studies on the interrelationship between Credit Default Swap (CDS) and the bond and equity markets. The first essay performs an analysis of the relationship between CDS premia denominated in Pound Sterling and bond spread denominated in Pound Sterling and the Euro currency. We found clear …
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Essays in Liquidity and Financial Markets
… the relationship between funding liquidity and credit default swap (CDS) spreads. Using panel estimations, this study provides evidence that a tightening of funding liquidity increases spreads, effect which is three times larger in magnitude for high-CDS entities compared to low-CDS firms. …
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Post Financial Crisis Regulation of Credit Enhancement Procedures for Securitization Transactions in the EU and the USA
… ja luottoriskinvaihtosopimuksia (credit default swap). Vertaamalla Yhdysvalloissa ja Euroopan Unionissa toimeenpantuja sääntelytoimia näiden luotonmaksukykyä parantavien järjestelyjen tarjoamista koskien on tutkielmassa pyritty selvittämään, onko tällaisia järjestelyjä käyttävien …
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Essays on Term Structures
… incorporates both Black Wednesday and the 2008 credit crisis, it is found that the added complexity of the essentially affine model only marginally improves the fit to the UK term structure not outweighing the tractability properties of the CIR model. The third and fourth chapters study the …
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Transmission of credit risk in Asia
… significant spillover effects between the credit default swap (CDS) spreads of sovereigns and banks have been evidenced in the US and several European countries. Even though systemic risk seems more likely to be associated with banks, the role of non-financial firms in linking sovereigns …
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Quantitative Modeling of Credit Derivatives
… in the existing approaches for modeling credit derivatives. This dissertation studies various issues related to the modeling of credit derivatives: hedging of portfolio credit derivatives, calibration of dynamic credit models, and modeling of credit default swap portfolios. In the first …
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Three Essays in Empirical Studies on Derivatives
… In the first chapter, I investigate whether credit default swap spreads are affected by how the total risk is decomposed into the systematic risk and the idiosyncratic risk for a given level of the total risk. The risk composition is measured by the systematic risk proportion, defined as the …
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Essays in Empirical Asset Pricing
… the relationship between systematic risk and credit default swap (CDS) returns and discovers that cross-sectional dispersion in future CDS returns can be rationalized by differences in firm’s sensitivities to the market return. Further analysis shows that investors in the CDS market demand …
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Essays on Macroeconomics and Banking
… this using a model of bank competition in which creditworthy but informationally opaque firms have an incentive to establish a small number of concentrated lending relationships to facilitate information acquisition by their lenders. Tightening credit standards reduces the rate of non-performing …
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Copulas for High Dimensions: Models, Estimation, Inference, and Applications
… new models to study a collection of daily credit default swap (CDS) spreads on 100 U.S. firms over the period 2006 to 2012. We find that while the probability of distress for individual firms has greatly reduced since the financial crisis of 2008-09, the joint probability of distress (a …
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Essays on the Macroeconomic Effects of Imperfect Banking Competition and Other Financial Frictions
… (equity ratios), making them more likely to default. In the long run, less competition tends to enhance stability as banks make higher profits and accumulate equity faster over time, resulting in higher equity ratios and hence lower bank default probabilities. The extent of this long-run …
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Financial Network Stability and Structure: Econometric and Network Analysis
… the study of the dynamics of the market of the Credit Default Swap (CDS) contracts for selected Eurozone sovereigns and the UK. The EWMA correlation analysis and the Granger-causality test demonstrate that there was contagion effect since correlations and cross-county interdependencies increased …
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