Credit Default Swap Spread (CDs) to Predict a Default
This paper investigates the ability of the Credit Default Swap Spread (CDSs) to predict a default. As a result, I started to build a regression and correlation model to examine and check if there is a relation between two important variables, which are Credit Default Swap (CDS) and Expected Default...
محفوظ في:
| المؤلف الرئيسي: | |
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| منشور في: |
2012
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| الموضوعات: | |
| الوصول للمادة أونلاين: | http://bspace.buid.ac.ae/handle/1234/559 |
| الوسوم: |
إضافة وسم
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| _version_ | 1862980614231162880 |
|---|---|
| author | Al Saadi, Khulood Salem |
| author_facet | Al Saadi, Khulood Salem |
| author_role | author |
| dc.creator.none.fl_str_mv | Al Saadi, Khulood Salem |
| dc.date.none.fl_str_mv | 2012-12 2014-03-19T11:00:39Z 2014-03-19T11:00:39Z |
| dc.format.none.fl_str_mv | application/pdf application/pdf |
| dc.identifier.none.fl_str_mv | 90074 http://bspace.buid.ac.ae/handle/1234/559 |
| dc.language.none.fl_str_mv | en |
| dc.publisher.none.fl_str_mv | The British University in Dubai (BUiD) |
| dc.subject.none.fl_str_mv | credit default swap Expected Default Frequency (EDF) credit risk counterparty risk clearing house credit rating |
| dc.title.none.fl_str_mv | Credit Default Swap Spread (CDs) to Predict a Default |
| dc.type.none.fl_str_mv | Dissertation |
| description | This paper investigates the ability of the Credit Default Swap Spread (CDSs) to predict a default. As a result, I started to build a regression and correlation model to examine and check if there is a relation between two important variables, which are Credit Default Swap (CDS) and Expected Default Frequency KMV (EDF) KMV. The study concentrates on the degree of variation on the prices for both variables as I believe that if one variable, which should be a predictor, changes the other variable, it should respond to this predication and change its price too. The study concentrates on five U.S. financial institutions, which are Citigroup Inc., JP Morgan Chase & Co., Goldman Sachs Group, Lehman Brother, and Morgan Stanley from 16 January 2007 to 23 May 2011. In conclusion, my analysis approves that the CDSs is classified as either risk exposures accumulator or predictor from year 2007 based on the findings, which prove that there is a relationship between credit default swaps and KMV EDFs. |
| id | budr_5cbfbdd13bc9c574b585e068bc96c917 |
| identifier_str_mv | 90074 |
| language_invalid_str_mv | en |
| network_acronym_str | budr |
| network_name_str | The British University in Dubai repository |
| oai_identifier_str | oai:bspace.buid.ac.ae:1234/559 |
| publishDate | 2012 |
| publisher.none.fl_str_mv | The British University in Dubai (BUiD) |
| repository.mail.fl_str_mv | |
| repository.name.fl_str_mv | |
| repository_id_str | |
| spelling | Credit Default Swap Spread (CDs) to Predict a DefaultAl Saadi, Khulood Salemcredit default swapExpected Default Frequency (EDF)credit riskcounterparty riskclearing housecredit ratingThis paper investigates the ability of the Credit Default Swap Spread (CDSs) to predict a default. As a result, I started to build a regression and correlation model to examine and check if there is a relation between two important variables, which are Credit Default Swap (CDS) and Expected Default Frequency KMV (EDF) KMV. The study concentrates on the degree of variation on the prices for both variables as I believe that if one variable, which should be a predictor, changes the other variable, it should respond to this predication and change its price too. The study concentrates on five U.S. financial institutions, which are Citigroup Inc., JP Morgan Chase & Co., Goldman Sachs Group, Lehman Brother, and Morgan Stanley from 16 January 2007 to 23 May 2011. In conclusion, my analysis approves that the CDSs is classified as either risk exposures accumulator or predictor from year 2007 based on the findings, which prove that there is a relationship between credit default swaps and KMV EDFs.The British University in Dubai (BUiD)2014-03-19T11:00:39Z2014-03-19T11:00:39Z2012-12Dissertationapplication/pdfapplication/pdf90074http://bspace.buid.ac.ae/handle/1234/559enoai:bspace.buid.ac.ae:1234/5592021-10-06T11:57:14Z |
| spellingShingle | Credit Default Swap Spread (CDs) to Predict a Default Al Saadi, Khulood Salem credit default swap Expected Default Frequency (EDF) credit risk counterparty risk clearing house credit rating |
| title | Credit Default Swap Spread (CDs) to Predict a Default |
| title_full | Credit Default Swap Spread (CDs) to Predict a Default |
| title_fullStr | Credit Default Swap Spread (CDs) to Predict a Default |
| title_full_unstemmed | Credit Default Swap Spread (CDs) to Predict a Default |
| title_short | Credit Default Swap Spread (CDs) to Predict a Default |
| title_sort | Credit Default Swap Spread (CDs) to Predict a Default |
| topic | credit default swap Expected Default Frequency (EDF) credit risk counterparty risk clearing house credit rating |
| url | http://bspace.buid.ac.ae/handle/1234/559 |