http://hdl.handle.net/10398/72 2013-05-24T19:41:58Z 2013-05-24T19:41:58Z Kallestrup, René http://hdl.handle.net/10398/8450 2012-05-24T07:39:01Z 2012-05-24T00:00:00Z

The Dynamics of Bank and Sovereign Credit Risk Kallestrup, René The Global Financial Crisis which started in 2007 is a defining economic event of our lifetime. Recessions and public bailouts of banking systems have resulted in concerns about the solvency of sovereigns in recent years as many Eurozone countries face substantial fiscal pressures. The exact causes of the Global Financial Crisis are still debated but it is unlikely to be the outcome of one single event. In a review of the Global Financial Crisis based on 21 books on the topic, Lo (2011) summarises the underlying causes and policy prescriptions: ”there is still significant disagreement as to what the underlying causes of the crisis were, and even less agreement as to what to do about it ... Like World War II, no single account of this vast and complicated calamity is sufficient to describe it.” The listed causes range from global capital flows, poor regulation, regulatory capture, inequality, high leverage, skewed economic incentives of borrowers and lenders, etc. Gorton and Metrick (2012) also contain an interesting summary of the literature written in recent years and in ”Lessons from the Financial Crisis” edited by Berd (2010) several chapters from academic researchers analyse the ongoing crisis.

2012-05-24T00:00:00Z Stenbo Nielsen, Mads http://hdl.handle.net/10398/8370 2011-12-06T10:55:33Z 2011-11-06T00:00:00Z

Essays on Correlation Modelling Stenbo Nielsen, Mads The thesis consists of three essays that cover different aspects of correlation modelling in corporate default risk. Each essay is self-contained and can be read independently. Essay I: Correlation in corporate defaults: Contagion or conditional independence? Essay II: Systematic and idiosyncratic default risk in synthetic credit markets. Essay III: Credit spreads across the business cycle.

2011-11-06T00:00:00Z Tang Andersen, Allan Sall http://hdl.handle.net/10398/8339 2011-09-19T06:15:20Z 2011-09-19T00:00:00Z

Essays on the Modeling of Risks in Interest-rate and Inflation Markets Tang Andersen, Allan Sall The topic of this thesis is the modeling of risks in interest-rate and inflation markets. Interest-rate risk is an important issue to investors. For instance, according to BIS (2010) the notional value of over-the-counter interest-rate derivatives markets is 465,260 billion US-dollar. This corresponds to 77 percent of the notional of the entire OTC derivatives market. Thus interest-rate derivatives is at the back-bone of the financial markets. According to ISDA (2009) 83 percent of Fortune 500 companies report using interest-rate derivatives in their risk management. Furthermore, many mortgage-based loans and pension contracts contain either explicit or implicit interest-rate options. Thus a better understanding of the interest-rate derivative markets, and the risk associated with the traded products is of great value, both to financial and non-financial companies as well as individuals....

2011-09-19T00:00:00Z Dick-Nielsen, Jens http://hdl.handle.net/10398/8198 2010-11-04T13:45:54Z 2010-11-04T00:00:00Z

Three Essays on Corporate Bond Market Liquidity Dick-Nielsen, Jens The three essays study the US corporate bond market with special attention to bond liquidity. All essays are empirical studies which rely heavily on the availability of transactions data. Earlier studies had to use quoted bond prices for empirical studies, but with the introduction of the TRACE system and with the following dissemination of transaction prices the data quality on corporate bonds has improved immensely. In the years after 2000 a range of studies assessed the performance of structural credit risk models and found that they were not able to fully explain the size of the average credit spread for corporate bonds. Huang and Huang (2003) suggested (among others) that the remaining non-default-component of the credit spread was an illiquidity premium. Using transaction data this thesis studies the impact of illiquidity and trading frictions on corporate bonds.

2010-11-04T00:00:00Z