Uppsatser om credit derivatives

2 uppsatser

Pricing Credit Default Index Swaptions A numerical evaluation of pricing models

Masteruppsats · Göteborgs universitet · 2015

This study examines the background and nature of the credit default index swaption (CDIS) and presentsrelevant methods for modelling credit risk. A CDIS is a credit derivative contract that gives the buyerright to enter into a credit default index swap (CDS index) contract at a …

Implied Dividends and Equity Returns

C-uppsats · Handelshögskolan i Stockholm

… also find that traditional proxies of risk premium (volatility risk premium, credit spreads and interest rate term-spread) improve the explanatory power of implied dividend growth, and that they have very high explanatory power themselves.