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 31 for “"credit default swaps"”.
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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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Credit default swaps in a roll-over risk framework
… in an affine form, this dissertation prices a credit default swap using an “affine transform” methodology. This price is then compared to that obtained from a traditional Monte Carlo simulation approach. The former is shown to produce accurate results with greater computational efficiency, …
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Los credit default swaps y su encuadre regulatorio en el derecho comparado y en Argentina
Fil: Parodi Logioco, Danilo.Pontificia Universidad Católica Argentina. Facultad de Derecho; Argentina
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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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A critical analysis of the regulation (of the European Parliament and of the Council) on short selling and certain aspects of credit default swaps
The reader is introduced to the financial landscape which the Regulation seeks to legislate, this is supplemented by a comprehensive overview of the role and functions of financial markets, a brief history of financial markets and an overview of the driving evolutionary factors which led to …
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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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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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Collective intelligence in financial markets : does consumer sentiment influence valuation of financial products?
… of Italy, Spain and Greece, and prices of Credit Default Swaps on sovereign bonds of aforementioned countries. The effect of the changes in the public mood was measured by Granger causality tests and linear regression models. A price change prediction model was built based on the CART …
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Time-inhomogeneous Lévy processes in interest rate and credit risk models
… thesis, we present interest rate models and a credit risk model, all driven <br>by time-inhomogeneous Lévy processes, i.e. stochastic processes whose increments <br>are independent but in general not stationary. <br> <br>In the interest rate part, we discuss a Heath-Jarrow-Morton forward rate …
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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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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 …
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Essays on risk assumption and liquidity management
… for each chapter are as follows. Chapter 1: Credit Default Swaps and Risk-Shifting: Good News for Constrained Firms We hypothesize that CDS discriminate risk choices according to firm’s financial status, being constrained firms more restrained than financially flexible ones. We take this …
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Developing a new CMBS hedging tool : a property price index-based synthetic
By isolating credit as a distinct asset class, credit derivatives provide new vehicles for synthetically trading and transferring credit exposure of commercial real estate without buying or selling the physical assets. Recent developments of CMBS index-based synthetics, namely the CMBX, have …
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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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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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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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