PhD defence: Andreas Bang Nielsen

In order to obtain the PhD degree, Andreas Bang Nielsen has submitted his thesis entitled:
Essays on Foreign Exchange and Credit Risk
 
The thesis consists of three self-contained essays. The first chapter develops a model that explains how currency denomination may cause differences in prices of credit risky securities on the same issuer.
The model is estimated to Eurozone sovereign credit default swaps denominated in euro and U.S. dollar. The second essay develops a method for calculating forward-looking risk exposures to currency factors and empirically examines their performance compared to risk exposures estimated from historical data. The final essay investigates empirically whether exposure to systematic currency risk explains the cross-section of currency volatility excess returns.

Primary Supervisor:
Professor David Lando
Department of Finance
University of Copenhagen
 
Secondary Supervisor:
Professor MSO Christian Wagner
Department of Finance
Copenhagen Business School

Assessment Committee:
Professor Carsten Sørensen (chair)
Department of Finance
Copenhagen Business School
 
Associate Professor Pasquale Della Corte
Department of Finance
Imperial College Business School, Imperial College London
 
Assistant Professor Irina Zviadadze
Stockholm School of Economics
 
Thesis:
The thesis will be available from http://openarchive.cbs.dk
 
Reception:
The Doctoral School of Business and Management will host a reception, which will take place immediately after the defence in FUHU Faculty Club at Solbjerg Plads.