Search for dissertations about: "CREDIT RISK MACROECONOMIC FACTORS"
Found 3 swedish dissertations containing the words CREDIT RISK MACROECONOMIC FACTORS.
-
1. Credit risk and forward price models
Abstract : This thesis consists of three distinct parts. Part I introduces the basic concepts and the notion of general quadratic term structures (GQTS) essential in some of the following chapters. Part II focuses on credit risk models and Part III studies forward price term structure models using both the classical and the geometrical approach. READ MORE
-
2. Essays on Sovereign Credit Risk and Credit Default Swap Spreads
Abstract : This doctoral thesis consists of 4 self-contained chapters: Sovereign Credit Default Swap Premia. This comprehensive review of the literature on sovereign CDS spreads highlights current academic debates and contrasts them with contradictory statements from the popular press. Real Economic Shocks and Sovereign Credit Risk. READ MORE
-
3. Empirical Essays on Financial Economics
Abstract : In the first essay of this thesis we develop a model for calculating the net expected value of a swap agreement subject to dual-default risk. The main explanatory variable for the net expected return of a swap is the default intensity of each party measured by the credit rating of the firm. READ MORE