THE LINK BETWEEN EQUITY RETURNS AND CDS SPREADS IN SUB-INVEST GRADE COMPANIES -A study of the European iTraxx indices
(2010)Department of Business Administration
- Abstract
- The purpose is to investigate whether the correlation
between equity returns and changes in CDS spreads is
stronger for sub-investment grade companies than for
investment grade companies in the European iTraxx
indices.
Please use this url to cite or link to this publication:
http://lup.lub.lu.se/student-papers/record/2273235
- author
- Töndevold, Magnus and Dreijer, Peter
- supervisor
- organization
- year
- 2010
- type
- H1 - Master's Degree (One Year)
- subject
- keywords
- Credit default swap index, iTraxx, Equity index return, CDS spread, Merton’s model, Sub-investment grade, Management of enterprises, Företagsledning, management
- language
- Swedish
- id
- 2273235
- date added to LUP
- 2010-06-07 00:00:00
- date last changed
- 2012-04-02 18:07:34
@misc{2273235, abstract = {{The purpose is to investigate whether the correlation between equity returns and changes in CDS spreads is stronger for sub-investment grade companies than for investment grade companies in the European iTraxx indices.}}, author = {{Töndevold, Magnus and Dreijer, Peter}}, language = {{swe}}, note = {{Student Paper}}, title = {{THE LINK BETWEEN EQUITY RETURNS AND CDS SPREADS IN SUB-INVEST GRADE COMPANIES -A study of the European iTraxx indices}}, year = {{2010}}, }