Credit default swap master thesis

Table of contents

    1. Introduction.
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    Now showing items of Dependency on oil rents the difference between oil revenue and production cost may not be sustainable over the short or the long run for oil dependent countries. Oil rents fluctuate with the oil price which is known In this paper, the aim of research is to investigate the effects of oil price upon economic growth and stock market returns in ten net oil-dependent countries.

    credit default swap thesis

    We apply four different modifications to crude oil price and In this paper, I compare the macroeconomic consequences of two types of oil price shocks on different sectors in Norway by the use of a Structural Autoregressive SVAR model. The two structural shocks are each identified There is a strong presumption that Norwegian stock return is dependent on oil price fluctuations. Previous research has focused mainly on the oil price affecting stock return.

    In this paper we show how Norwegian stock In this document, we have presented a theoretical modelling framework for designing and rating a Dynamic Proportion Portfolio Insurance DPPI product, an innovation in the world of synthetic structured credits providing a capital guarantee to the investor. We first outline the main steps of Collateral Synthetic Obligation risk-neutral pricing in the well-known one factor gaussian copula model, which we further develop and supplement for rating DPPIs.

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    • However, the latter requires to evaluate an expected loss function L M under the historical risk measure: various discrete and continuous random processes are introduced for describing risk factors such as defaults, rating transitions, Credit Default Swap CDS spread levels and recovery rates. This study finds that non-macroeconomic variables have an impact on sovereign CDS pricing even after controlling for macroeconomic variables.

      This study also finds that variables that are important for the entire sample of countries are not necessarily important when the countries are assessed on a split cluster basis.

      Advisor: Premachandra, I. Degree Name: Master of Business. Degree Discipline: Accountancy and Finance. Publisher: University of Otago.

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