Search for dissertations about: "index CDS"

Found 3 swedish dissertations containing the words index CDS.

2. 1. Pricing Portfolio Credit Derivatives

   Author : Alexander Herbertsson; Göteborgs universitet; []
   Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Portfolio credit risk; intensity-based models; dynamic dependence modelling; default contagion; CDS; synthetic CDO tranches; index CDS; k-th-to-default swaps; CDS-correlation; default-correlation; Markov jump processes; multivariate phase-type distributions; matrix-analytic methods;

   Abstract : This thesis consists of four papers on dynamic dependence modelling in portfolio credit risk. The emphasis is on valuation of portfolio credit derivatives. The underlying model in all papers is the same, but is split in two different sub-models, one for inhomogeneous portfolios, and one for homogeneous ones. READ MORE

4. 2. Essays on Systemic Risk in European Banking

   Author : Hassan Sabzevari; Nationalekonomiska institutionen; []
   Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Systemic Risk; CoVaR; GIIPS; Quantile Regression; DCC; CDS;

   Abstract : This thesis makes a contribution to systemic risk literature in the European banking system. The intimate interdependence between the European banking industries and the fragile GIIPS debt market has jeopardized the banking sector in Europe. READ MORE

5. 3. Renal hemodynamics in renal artery stenosis and angiotensin II-dependent hypertension. Pathophysiological and diagnostic aspects

   Author : Aso Saeed; Göteborgs universitet; []
   Keywords : angiotensin II; autoregulation of renal blood flow; color duplex sonography; endothelin-1; oxidative stress; renal artery stenosis; renal hemodynamics; renovascular hypertension;

   Abstract : Patients with renovascular hypertension have a poor renal and cardiovascular prognosis. To improve the care of these patients, we need to increase knowledge about the pathophysiological mechanisms involved. READ MORE