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Dissertations / Theses on the topic 'Risk Credit Swaps (Finance)'

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Published: 4 June 2021

Last updated: 1 February 2022

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1

Qi, Ziqiong. "Credit risk under normal and extreme condition : empirical investigation on European CDS spread changes." Thesis, Rennes 1, 2014. http://www.theses.fr/2014REN1G025/document.

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Cette thèse de doctorat s’articule en trois chapitres. Le premier chapitre s’attache à trouver les déterminants principaux des variations hebdomadaires des marges de CDS, en période normale. Le deuxième chapitre se concentre, quant à lui, sur le comportement des marges de CDS dans les situations extrêmes. Nous exploitons dans ce chapitre les outils couramment employés dans l’analyse du risque systémique (CoVaR et régression quantile). Le troisième et dernier chapitre s’intéresse à l'impact des modifications de notations émises par les agences de rating (sur les marges de CDS). Nous procédons i

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2

Al-Own, Bassam. "CEO stock-option compensation and the use of credit default swaps in relation to European bank risk." Thesis, Edinburgh Napier University, 2015. http://researchrepository.napier.ac.uk/Output/8800.

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This thesis investigates two main aspects related to the use of credit default swaps (CDS) by European banks. The first area of investigation focuses on the relationship between the CEOs' risk-taking incentives generated by stock option compensation and the usage of CDS by banks. This thesis contributes to the existing literature in risk management with derivatives, which initially assumes that the use of derivatives is intended to reduce firm risk, by distinguishing between CDS use for hedging purposes and CDS use for trading purposes. The relationship between CEOs' risk-taking incentives and

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3

Isiugo, Uche C. "Feats and Failures of Corporate Credit Risk, Stock Returns, and the Interdependencies of Sovereign Credit Risk." ScholarWorks@UNO, 2016. http://scholarworks.uno.edu/td/2221.

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This dissertation comprises two essays; the first of which investigates sovereign credit risk interdependencies, while the second examines the reaction of corporate credit risk to sovereign credit risk events. The first essay titled, Characterizing Sovereign Credit Risk Interdependencies: Evidence from the Credit Default Swap Market, investigates the relationships that exist among disparate sovereign credit default swaps (CDS) and the implications on sovereign creditworthiness. We exploit emerging market sovereign CDS spreads to examine the reaction of sovereign credit risk to changes in count

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4

Sauter, Dawn Adell. "Estimating swap credit risk : significance of the volatility input using Monte-Carlo simulation /." Thesis, This resource online, 1993. http://scholar.lib.vt.edu/theses/available/etd-12052009-020238/.

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5

Wu, Weiou. "Correlations and linkages in credit risk : an investigation of the credit default swap market during the turmoil." Thesis, University of St Andrews, 2013. http://hdl.handle.net/10023/4048.

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This thesis investigates correlations and linkages in credit risk that widely exist in all sectors of the financial markets. The main body of this thesis is constructed around four empirical chapters. I started with extending two main issues focused by earlier empirical studies on credit derivatives markets: the determinants of CDS spreads and the relationship between CDS spreads and bond yield spreads, with a special focus on the effect of the subprime crisis. By having observed that the linear relationship can not fully explain the variation in CDS spreads, the third empirical chapter invest

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6

Benbouzid, Nadia. "Credit risk in the banking sector : international evidence on CDS spread determinants before and during the recent crisis." Thesis, Queen Mary, University of London, 2015. http://qmro.qmul.ac.uk/xmlui/handle/123456789/8912.

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Credit Default Swaps (CDS) instruments - as an indicator of credit risk - were one of the most prominent innovations in financial engineering. Very limited literature existed on the drivers of CDS spreads before the financial crisis due to the opacity of this market and its lack of transparency. First, this thesis investigates the drivers of CDS spread in the UK banking sector, by considering the role of the housing market, over the period of 2004-2011. I find that, in the long-run, house price dynamics were the main factor contributing to wider CDS spreads. In addition, I show that a rise in

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7

Bernstein, Elan M. "The Impact of Credit Default Swap Introduction on Firm Systematic Risk." Scholarship @ Claremont, 2015. http://scholarship.claremont.edu/cmc_theses/1063.

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This paper empirically explores how the introduction of Credit Default Swap (CDS) trading affects firm systematic risk. By treating the introduction as an event study and imploring propensity score matching and difference-in-differences analysis, this research finds that firm exposure to market risk increases after the introduction of CDS instruments, controlling for higher debt levels. These findings change, however, in times of financial crisis when the impact of CDS trading actually reduces systematic risk. These results show that CDS introduction enables a firm to more dramatically change

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8

Wang, Tingwei. "Three Essays on Sovereign Credit Risk." Thesis, Paris Sciences et Lettres (ComUE), 2016. http://www.theses.fr/2016PSLED010.

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Cette thèse étudie le risque de crédit souverain et son impact sur les banques et les entreprises. Le premier essai montre que le risque de crédit bancaire est lié au risque de crédit souverain via l’exposition commune au risque systémique au lieu du sauvetage implicite ou de l’exposition excessive aux obligations émises par le pays d’origine. Dans le deuxième essai, je construis un modèle de structure du capital qui prédit une corrélation négative entre le niveau d’endettement des grands entreprises et le risque de crédit souverain à cause du sauvetage implicite. Cette prédiction est confirmé

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9

Anderson, Mike. "Contagion in Credit Default Swap Premiums and Spillover Effects from Bond Liquidity to Stock Returns." The Ohio State University, 2012. http://rave.ohiolink.edu/etdc/view?acc_num=osu1334406908.

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10

Doran, Zachary. "Pricing Political Risk in Latin America: A Look inside Presidential Elections, Sovereign Credit Default Swaps and Equity Prices in Argentina, Brazil, Chile and Mexico." Scholarship @ Claremont, 2013. http://scholarship.claremont.edu/cmc_theses/627.

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This paper explores the relationship between presidential elections and sovereign credit default swap (CDS) returns, as well as, equity returns in the Latin American countries, Argentina, Brazil, Chile and Mexico. In particular, this paper tests whether or not presidential elections, which potentially represent political uncertainty and risk, affect sovereign CDS returns. I also analyze stock returns during the elections of each country to establish benchmarks that I compare to the CDS returns. Specifically, I evaluate the movement of CDS and equity adjusted returns (i.e. returns measured as d

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11

Sabkha, Saker. "On the dynamic behavior of the worldwide sovereign Credit Default Swaps markets." Thesis, Lyon, 2018. http://www.theses.fr/2018LYSE1127/document.

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Le phénomène de contagion, les hypothèses d'efficience et les transferts de volatilité sont parmi les théories économiques les plus importantes, car elles fournissent une vision globale sur la stabilité financière. Or, elles restent les moins comprises depuis les récentes crises récentes. Ainsi, cette thèse propose de fournir aux régulateurs économiques, aux investisseurs et aux acteurs du marché financier une vision actualisée du comportement dynamique des marchés mondiaux des Credit Default Swaps (CDS): efficacité informationnelle, interaction avec d'autres marchés financiers internationaux

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12

Gex, Mathieu. "Le marché des credit default swaps : effets de contagion et processus de découverte des prix durant les crises." Phd thesis, Université de Grenoble, 2011. http://tel.archives-ouvertes.fr/tel-00647289.

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Cette thèse étudie la dynamique du marché des credit default swaps (CDS), instruments financiers de transfert du risque du crédit, et de ses relations avec les autres marchés, en particulier durant les épisodes de crise. Le marché des CDS a connu un développement vigoureux depuis son émergence, au milieu des années 90. Les volumes de contrats de CDS échangés ont augmenté à un rythme rapide, ce marché a ainsi connu le développement le plus rapide parmi les dérivés négociés de gré-à-gré (over-the-counter - OTC). Les participants de marché, principalement les grandes banques, ont su tirer parti d

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13

Guo, Biao. "Essays on credit default swaps." Thesis, University of Nottingham, 2013. http://eprints.nottingham.ac.uk/13101/.

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This thesis is structured to research on a financial derivative asset known as a credit default swap (CDS). A CDS is a contract in which the buyer of protection makes a series of payments (often referred to as CDS spreads) to the protection seller and, in exchange, receives a payoff if a default event occurs. A default event can be defined in several ways, including failure to pay, restructuring or rescheduling of debt, credit event repudiation, moratorium and acceleration. The main motivation of my PhD thesis is to investigate the determinants of the changes of CDS spreads and to model the ev

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14

Levy, Ariel. "Essays on credit default swaps." Diss., Restricted to subscribing institutions, 2009. http://proquest.umi.com/pqdweb?did=1872060451&sid=3&Fmt=2&clientId=1564&RQT=309&VName=PQD.

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15

Wang, Qian Sarah, and 王倩. "The real effects of credit default swaps." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2012. http://hub.hku.hk/bib/B48329575.

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In recent years, concerns have been raised about the real effects of credit default swaps (CDS) on the economy. Different from the hitherto accepted view that derivatives are redundant, CDS may affect the credit risk and strategic liquidity decision of the reference entities. In this dissertation, I use a unique, comprehensive sample covering 901 CDS introductions on North American corporate issuers, between June 1997 and April 2009, to address these questions. In chapter 2, I investigate whether CDS trading increases the credit risk of the reference entities. I find that the probability o

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16

Shan, Chenyu, and 陜晨煜. "Credit default swaps (CDS) and loan financing." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2013. http://hub.hku.hk/bib/B5089965X.

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As evidenced by its market size, credit default swaps (CDSs) has been the cornerstone product of the credit derivatives market. The central question that I attempt to answer in this thesis is: why and how does the introduction of CDS market affect bank loan financing? Theoretical works predict some potential effects from CDS market, but empirical evidence is still rare. This dissertation empirically examines the effects of CDS trading on bank loan financing. In chapter one, I find that banks increase average loan amount and charge higher loan spread after the onset of CDS trading on the borr

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17

Desrosiers, Mary Elizabeth. "Prices of credit default swaps and the term structure of credit risk." Link to electronic thesis, 2007. http://www.wpi.edu/Pubs/ETD/Available/etd-050107-220449/.

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18

Wang, Yan. "Finding the Value at Risk for Credit Default Swaps." Thesis, Uppsala universitet, Analys och tillämpad matematik, 2012. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-175714.

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19

Diallo, Nafi C. "The Valuation of Credit Default Swaps." Digital WPI, 2006. https://digitalcommons.wpi.edu/etd-theses/57.

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The credit derivatives market has known an incredible development since its advent in the 1990's. Today there is a plethora of credit derivatives going from the simplest ones, credit default swaps (CDS), to more complex ones such as synthetic single-tranche collateralized debt obligations. Valuing this rich panel of products involves modeling credit risk. For this purpose, two main approaches have been explored and proposed since 1976. The first approach is the Structural approach, first proposed by Merton in 1976, following the work of Black-Scholes for pricing stock options. This approach re

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XUE, Xinshu. "The impact of credit default swaps on corporate investment policy." Digital Commons @ Lingnan University, 2015. https://commons.ln.edu.hk/fin_etd/14.

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Credit Default Swaps (CDSs) play an important role in the financial markets. The introduction of CDSs has impacts on the bond market, and the financial characteristics and creditworthiness of the underlying reference entities. When financing is not frictionless, the investment policies of firms are related to their financial conditions. However, whether or how the introduction of CDS will directly affect the investment policy of the firm has not been examined empirically in the literature. To shed light on this issue, my study investigates the relation between credit default swaps trading and

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21

Shen, Yao. "Essays in Corporate Finance and Credit Markets." Thesis, Boston College, 2016. http://hdl.handle.net/2345/bc-ir:106883.

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Thesis advisor: Philp E. Strahan<br>This dissertation is comprised of three essays which examine the interactions among credit market innovation, corporate finance, and information intermediaries. In the first essay, I study the role of credit default swaps (CDS) in reducing credit supply frictions for corporate borrowers. I find that firms whose CDS is included in a major CDS index--the CDX North American Investment Grade index--have significantly lower cost of debt, and in response rely more heavily on debt for external financing. To address the potential endogeneity of index addition, I use

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22

Rauch, Johannes. "Discretisation-invariant swaps and higher-moment risk premia." Thesis, University of Sussex, 2016. http://sro.sussex.ac.uk/id/eprint/61473/.

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This thesis introduces a general framework for model-free discretisation-invariant swaps. In the first main chapter a novel design for swap contracts is developed where the realised leg is modified such that the fair value is independent of the monitoring partition. An exact swap rate can then be derived from the price aportfolio of vanilla out-of-the-money options without any discrete-monitoring or jump errors. In the second main chapter the P&Ls on discretisation-invariant swaps associated with the variance, skewness and kurtosis of the log return distribution are used as estimators for the

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Ibelli, Rodrigo Trintino. "Wrong-way risk in stock swaps: measuring counterparty credit risk and CVA." reponame:Repositório Institucional do FGV, 2015. http://hdl.handle.net/10438/13993.

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Submitted by Rodrigo Trintino Ibelli (rtrintino@gmail.com) on 2015-09-03T14:07:52Z No. of bitstreams: 1 Rodrigo Ibelli - Dissertação MPFE 2015.pdf: 3255284 bytes, checksum: 0de3609857bb415d5d0cbb497ca4bcc9 (MD5)<br>Rejected by Renata de Souza Nascimento (renata.souza@fgv.br), reason: Rodrigo, boa tarde Seu trabalho foi rejeitado por não estar de acordo com as normas da ABNT. Estaremos encaminhando por e-mail o que deverá ser alterado. Att on 2015-09-03T17:24:46Z (GMT)<br>Submitted by Rodrigo Trintino Ibelli (rtrintino@gmail.com) on 2015-09-04T12:56:55Z No. of bitstreams: 1 Disse

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Lin, Ming-Tsung. "Three studies in hedge funds and credit default swaps." Thesis, University of Manchester, 2015. https://www.research.manchester.ac.uk/portal/en/theses/three-studies-in-hedge-funds-and-credit-default-swaps(b85f19e8-7fb5-4256-b4c6-276af18264a3).html.

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This thesis consists of one hedge fund study and two credit default swap (CDS) studies. The first study investigates the relationship between mega hedge funds (the largest 25% of funds) and two bond yields (U.S. Treasury yield and Baa yield). Using a merged sample of 9,725 hedge funds from 1994 to 2012, I find that hedge fund outflow produced a more significant relationship than inflow, and the dollar outflow of large hedge funds can predict the increase in the bond yields. The association is also more pronounced for large funds with a short notice period prior to redemption. The results sugge

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Hellander, Martin. "Credit Value Adjustment: The Aspects of Pricing Counterparty Credit Risk on Interest Rate Swaps." Thesis, KTH, Matematisk statistik, 2015. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-173225.

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In this thesis, the pricing of counterparty credit risk on an OTC plain vanilla interest rate swap is investigated. Counterparty credit risk can be defined as the risk that a counterparty in a financial contract might not be able or willing to fulfil their obligations. This risk has to be taken into account in the valuation of an OTC derivative. The market price of the counterparty credit risk is known as the Credit Value Adjustment (CVA). In a bilateral contract, such as a swap, the party’s own creditworthiness also has to be taken into account, leading to another adjustment known as the Debi

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Huang, Hueng-Ming. "Two essays on credit risk." Related electronic resource:, 2007. https://login.libezproxy2.syr.edu/login?qurl=http://proquest.umi.com/pqdweb?did=1441197851&sid=7&Fmt=2&clientId=3739&RQT=309&VName=PQD.

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27

Xie, Hui. "Sovereign credit risk spillover." Thesis, University of Nottingham, 2014. http://eprints.nottingham.ac.uk/27743/.

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This thesis examines cross-market correlations between means and variances in sovereign credit markets and captures the presence of any contagion effect by focusing on parallel movements between markets in the wake of the recent crisis. Furthermore, it focuses on the effect of policy interventions on the dynamics of these correlations. First, to look at the correlation between markets, we investigate the interaction between sovereign spreads and creditworthiness. Our results suggest that there are stable long-term cointegration relationships and significant short-term reactions between governm

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Neves, Ricardo Filipe Godinho Miranda das. "Clearing Credit Default Swaps : an new look into the basis." Master's thesis, Instituto Superior de Economia e Gestão, 2014. http://hdl.handle.net/10400.5/7864.

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Mestrado em Contabilidade, Fiscalidade e Finanças Empresariais<br>Este estudo pretende analisar se períodos de turbulência nos mercados financeiros causaram uma quebra de estrutura na relação entre os spreads dos CDS e das Obrigações (Base). Obtivémos evidência que um largo número de quebras de estrutura foi detectado para as empresas incluídas na amostra durante o período da crise da dívida soberana Europeia. Para além disso, o efeito do risco de contra parte na base revelou ter também um maior impacto nas empresas do sector financeiro no período após a quebra de estrutura detectada.<br>This

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Ilerisoy, Mahmut Sa-Aadu Jarjisu. "Hedging out the mark-to market volatility for structured credit portfolios." Iowa City : University of Iowa, 2009. http://ir.uiowa.edu/etd/381.

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Frey, Rüdiger, and Lars Rösler. "Contagion Effects and Collateralized Credit Value Adjustments for Credit Default Swaps." WU Vienna University of Economics and Business, 2013. http://epub.wu.ac.at/3770/1/preprint_freyroesler.pdf.

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The paper is concerned with counterparty credit risk management for credit default swaps in the presence of default contagion. In particular, we study the impact of default contagion on credit value adjustments such as the BCCVA (Bilateral Collateralized Credit Value Adjustment) of Brigo et al. 2012 and on the performance of various collateralization strategies. We use the incomplete-information model of Frey and Schmidt (2012) as vehicle for our analysis. We find that taking contagion effects into account is important for the effectiveness of the strategy and we derive refined collateraliza

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Zhou, Ping. "Essays on credit risk." Thesis, London School of Economics and Political Science (University of London), 2014. http://etheses.lse.ac.uk/945/.

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Anastassopoulou, Nikolitsa. "Credit risk measurement and modelling." Thesis, City University London, 2006. http://openaccess.city.ac.uk/8497/.

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This thesis aims to make a contribution to the understanding of the key economic and company specific components of credit spreads in the investment and non-investment grade US bond market for different maturing bond indices. It calls for the full integration of different market andfirm specific variables into a unique framework, in order to predict credit spread changes. Key determinants of default risk are employed to determine credit migration risk. Particularly, this thesis provides evidence as to the relation between different macroeconomic factors and credit spread changes in all differe

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33

Zhang, Xuan. "Essays in credit risk management." Thesis, University of Glasgow, 2017. http://theses.gla.ac.uk/7988/.

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Credit risk management is becoming more and more important in recent years. Credit risk refers to the risk that an obligor fails to make payments on any type of debt at the time of maturity. Credit risk models are statistical tools to infer the future default probabilities and loss distribution of values of a portfolio of debts. This doctoral thesis focus on the application of credit risk management in different areas. To better understand the credit risk management, in the first chapter, we introduce the basic ideas in credit risk management and review the models developed in the last decades

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Malwandla, Musa. "Quantitative models for prudential credit risk management." Doctoral thesis, Faculty of Commerce, 2021. http://hdl.handle.net/11427/33779.

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The thesis investigates the exogenous maturity vintage model (EMV) as a framework for achieving unification in consumer credit risk analysis. We explore how the EMV model can be used in origination modelling, impairment analysis, capital analysis, stress-testing and in the assessment of economic value. The thesis is segmented into five themes. The first theme addresses some of the theoretical challenges of the standard EMV model – namely, the identifiability problem and the forecasting of the components of the model in predictive applications. We extend the model beyond the three time dimensio

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Hantzsche, Arno. "Fiscal uncertainty and sovereign credit risk." Thesis, University of Nottingham, 2018. http://eprints.nottingham.ac.uk/49976/.

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This doctoral thesis studies sovereign credit risk during periods of uncertainty about the state of a government's fiscal position. A new measure of fiscal uncertainty is introduced, based on the disagreement in official forecasts of the public budget deficit, and forecast revisions to approximate common uncertainty shocks. It is shown that in the aftermath of the global financial crisis, fiscal uncertainty increased substantially in advanced economies. The effects of fiscal uncertainty are largely unknown, in particular in the context of sovereign credit risk. To estimate the response of sove

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Shi, Shimeng. "Information content of credit default swaps : price discovery, risk transmission, and news impact." Thesis, Durham University, 2017. http://etheses.dur.ac.uk/12097/.

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This thesis comprises three empirical studies regarding information content of credit default swap (CDS). The first study provides further evidence of credit risk discovery between CDS and stock of the U.S. non-financial firms. Stock generally leads CDS in discovering credit risk information, with the exception of the stressful financial crisis period of 2008–2010. The CDS of investment-grade firms generally possesses higher informational efficiency than that of speculative-grade firms. High funding cost and central clearing counterparty hinder CDS from rapidly incorporating credit risk news.

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Korula, Febin. "The Credit Risk in Stock-Based Loans." Master's thesis, University of Cape Town, 2018. http://hdl.handle.net/11427/29380.

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Stock-based loans are an increasingly popular form of loan that are collateralised using stocks. Since these loans are often non-recourse loans, the lenders are subject to the risk that the collateral is worth less than the loan, and the borrower defaults. This dissertation will consider the credit risk faced by lenders when issuing these loans. To achieve this, this dissertation will propose different models to quantify this risk using various credit measures. A sensitivity analysis to key model parameters is then conducted. Some brief comments about capital requirements will also be made.

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Bravo, Beneitez Rodrigo. "'Naked’ CDS Regulation and its Impact On Price Discovery in the Credit Markets." Scholarship @ Claremont, 2013. http://scholarship.claremont.edu/cmc_theses/636.

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This paper seeks to fill a gap in the literature regarding the consequences of banning ‘naked’ Credit Default Swaps (CDS). In particular, I use the European Union’s Ban on ‘naked” Sovereign CDS as an event study to evaluate the impact that banning such derivative products has on the price discovery process in the credit markets. Using both Granger Causality tests and a Vector Error Correction Model, I find that before November 1, 2012, CDS are the clear price leader in the credit markets. However, since the official date the regulation was put into effect, CDS’ price leadership was eroded. Mor

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Neill, Jon Patraic. "Credit Default Swaps Regulation and the Use of Collateralized Mortgage Obligations in U.S. Financial Institutions." ScholarWorks, 2011. https://scholarworks.waldenu.edu/dissertations/1135.

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The fast and easy global movement of capital throughout the financial system, from lenders to borrowers and through intermediaries and financial market participants, has been recognized as a source of instability associated with illiquidity and financial crises. The purpose of this research was to better understand how regulation either enables or constrains capital movement. The theoretical framework comprised 2 contrasting public policymaking models, Arrow's rational-comprehensive model and Kingdon's garbage can model, which were used to derive opposing hypotheses. The research question addr

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Augustin, Patrick. "Essays on sovereign credit risk and credit default swap spreads." Doctoral thesis, Handelshögskolan i Stockholm, Institutionen för Finansiell ekonomi, 2013. http://urn.kb.se/resolve?urn=urn:nbn:se:hhs:diva-2131.

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This doctoral thesis consists of 4 self-contained chapters: Sovereign Credit Default Swap Premia. This comprehensive review of the literature on sovereign CDS spreads highlights current academic debates and contrasts them with contradictory statements from the popular press. Real Economic Shocks and Sovereign Credit Risk. New empirical evidence highlights that global macroeconomic risk unspanned by global financial risk bears some responsibility for the strong co-movement in sovereign spreads. A model with only two global macroeconomic state variables rationalizes the existence of time-varyin

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Patricio, Antonio Pires. "Credit risk assessment in Macau." Thesis, University of Macau, 2004. http://umaclib3.umac.mo/record=b1636249.

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Tong, Edward N. C. "Mixture models for consumer credit risk." Thesis, University of Southampton, 2015. https://eprints.soton.ac.uk/374795/.

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The three papers in this thesis comprise the development of three types of Basel models – a Probability of Default (PD), Loss Given Default (LGD) and Exposure at Default (EAD) model for consumer credit risk, using mixture model methods. Mixture models consider the underlying population as being composed of different sub-populations that are modelled separately. In the first paper (Chapter 2), mixture cure models are introduced to the area of PD/credit scoring. A large proportion of the dataset may not experience the event of interest during the loan term, i.e. default. A mixture cure model pre

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Sustersic, Jennifer Lynn. "Do traded credit default swaps impact lenders' monitoring activities? Evidence from private loan agreements." The Ohio State University, 2012. http://rave.ohiolink.edu/etdc/view?acc_num=osu1339512002.

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Neier, Mark. "Pricing of collateralized debt obligations and credit default swaps using Monte Carlo simulation." Thesis, Manhattan, Kan. : Kansas State University, 2009. http://hdl.handle.net/2097/2308.

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Shi, Jian Wu Chunchi. "Liquidity, taxes and credit risk of fixed income securities." Related electronic resource: Current Research at SU : database of SU dissertations, recent titles available full text, 2004. http://wwwlib.umi.com/cr/syr/main.

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Onorato, Mario. "Essays on credit risk, risk adjusted performance and economic capital in financial institutions." Thesis, City University London, 2005. http://openaccess.city.ac.uk/8452/.

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This dissertation consists of three autonomous essays, discussing the following topics: 1. the pricing of defaultable bonds, loans and plain vanilla credit derivatives, 2. the use of risk-adjusted performance measurement, for optimal portfolio management in the banking, asset management and insurance industries 3. return on economic capital as a measure of value created by the holding of bank assets and the operation of bank business units.

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Uliss, Barbara Turk. "Reporting interest rate swaps: The association of disclosure quality with credit risk and ownership structure." Case Western Reserve University School of Graduate Studies / OhioLINK, 1991. http://rave.ohiolink.edu/etdc/view?acc_num=case1059571738.

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Du, Wenxin. "Essays in International Finance." Thesis, Harvard University, 2013. http://dissertations.umi.com/gsas.harvard:10902.

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This dissertation consists of three essays in international finance. The first two essays study emerging market sovereign risk with a focus on local currency denominated sovereign bonds. The third essay examines econometric tools for robust inference in the presence of missing observations, an issue frequently encountered by researchers in international finance.<br>Economics

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Wang, Yang. "Credit risk management in rural commercial banks in China." Thesis, Edinburgh Napier University, 2013. http://researchrepository.napier.ac.uk/Output/6659.

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Credit risk is one of the most general risks that exist in the financial market and a major risk faced by financial institutions. Credit risk management (CRM) is to identify, measure, monitor, and control risk arising from the possibility of default in loan repayments. The primary objective of CRM of rural commercial banks (RCBs) is to maintain risk within acceptable parameters and satisfy the regulatory requirements. CRM has long been the focus of governments, regulatory authorities and financial institutions. This thesis examines the importance of CRM for RCBs, which has been overlooked in t

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Derrocks, Velda Charmaine. "Credit risk management in development finance institutions and SMME sustainability." Thesis, Nelson Mandela Metropolitan University, 2017. http://hdl.handle.net/10948/14862.

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Small, Medium and Micro Enterprises (SMMEs) make a significant contribution to the South African Economy. Regardless of size, these businesses have the ability to create employment, make a generous contribution to tax collections, uplift communities and serve as a beacon of hope for those trapped in the cycle of poverty and unemployment. However, SMMEs lack access to much-needed financial resources that are critical for their growth. Development Finance Institutions (DFIs) aim to bridge the gap between the SMME’s financial needs and the development of the respective SMME businesses, by providi

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