Swap Loan Risk

Specialeforsvar ved Jais Henckel Astrup

Titel: Swap Loan Risk

Abstract: The scope of this thesis is to try and explain what happened in the fnancial sector prior to the 2008 crisis that lead to most newly started cooperatives being well over their head in debt. Using information from several official documents we will showcase the ideas and thoughts made for and by AB Duegården at their founding. How converting a loan would later on have a big impact on the value of the debt, and in that context describe how swaps are constructed and valued using relative simple zero coupon bond prices. Later we will develop the necessary theory to be able to describe the situations that AB Duegården faced when their cooperative lost its entire value over two events. Having data covering the entire lifetime of AB Duegården we can price their products, compare these, and finally conclude that there did not seem to be a non risky way out of debt trap ,which implies that the bankruptcy of AB Duegården was inevitable.

Vejleder: Rolf Poulsen
Censor: Bjarne Astrup Jensen, CBS