Essays on Credit Risk and Credit Derivatives

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Essays on Credit Risk and Credit Derivatives

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dc.contributor.author Bajlum, Claus en_US
dc.date.accessioned 2009-02-04T10:23:53Z
dc.date.available 2009-02-04T10:23:53Z
dc.date.issued 2008-06-17T00:00:00Z en_US
dc.identifier.isbn 9788759383612 en_US
dc.identifier.uri http://hdl.handle.net/10398/6520
dc.description.abstract This Ph.D. thesis consists of three self-contained chapters, which can be read independently. The chapters are interrelated through their use of structural credit risk models and a credit derivative known as the Credit Default Swap (CDS). Chapter 1 estimates the impact of accounting transparency on the term structure of CDS spreads for a large cross-section of firms. Chapter 2 analyzes the use of CDS spreads in a convergence-type trading strategy known as capital structure arbitrage. Finally Chapter 3 estimates the time-series behaviour of the credit risk premium in the market for Credit Default Swaps. en_US
dc.format.extent 161 en_US
dc.language eng en_US
dc.relation.ispartofseries Ph.d.serie;2008-12 en_US
dc.subject.other ph.d.-afhandlinger en_US
dc.title Essays on Credit Risk and Credit Derivatives en_US
dc.type phd en_US
dc.accessionstatus modt08jun17, 08aug28 ligamo en_US
dc.contributor.corporation Copenhagen Business School. CBS en_US
dc.contributor.department Institut for Finansiering en_US
dc.contributor.departmentshort FI en_US
dc.contributor.departmentuk Department of Finance en_US
dc.contributor.departmentukshort FI en_US
dc.idnumber 9788759383612 en_US
dc.publisher.city København en_US
dc.publisher.year 2008 en_US


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