Credit Default Swap, which factors affect the price?
(2005)Department of Business Administration
- Abstract
- Our thesis present a model that is trying to explain the price of credit default swaps. The model consists of five variables. By using a linear multiple regression model, we find that all of the variables are affecting the price of the swap. However, some variables are only present in a few cases. We believe that our model captures a large part of the price of the credit default swap, but that there are still other factors or variables that are affecting the price
Please use this url to cite or link to this publication:
http://lup.lub.lu.se/student-papers/record/1349873
- author
- Fransson, Johan and Westlund, Anders
- supervisor
- organization
- year
- 2005
- type
- H1 - Master's Degree (One Year)
- subject
- keywords
- credit default swap, credit derivatives, regression, credit risk, risk management, Management of enterprises, Företagsledning, management
- language
- English
- id
- 1349873
- date added to LUP
- 2005-01-14 00:00:00
- date last changed
- 2012-04-02 15:21:29
@misc{1349873,
abstract = {{Our thesis present a model that is trying to explain the price of credit default swaps. The model consists of five variables. By using a linear multiple regression model, we find that all of the variables are affecting the price of the swap. However, some variables are only present in a few cases. We believe that our model captures a large part of the price of the credit default swap, but that there are still other factors or variables that are affecting the price}},
author = {{Fransson, Johan and Westlund, Anders}},
language = {{eng}},
note = {{Student Paper}},
title = {{Credit Default Swap, which factors affect the price?}},
year = {{2005}},
}