Impact of Government Bonds Spreads on Credit Derivatives
Analysis of Increasing Spreads Developments within the European Area
Seiten
2017
|
1st ed. 2018
Springer Fachmedien Wiesbaden GmbH (Verlag)
978-3-658-20218-7 (ISBN)
Springer Fachmedien Wiesbaden GmbH (Verlag)
978-3-658-20218-7 (ISBN)
Verena Anna Berger investigates the question to what extent credit default swap spreads are impacted by an increase of government bond yields within the European area. In the first step, these spreads are computed with the help of the Hull-White model to demonstrate the theoretical calculation. The main findings which are calculated by using the Fontana-Scheicher model show that a negative impact on credit default swap spreads is observed based on the analysed data. However, there is high variation between the analysed countries so that a country-specific evaluation instead of a general review is recommended by the author.
Verena Anna Berger graduated from the University of Applied Science Vienna with a Master of Arts in Quantitative Asset and Risk Management. As a risk manager, she is currently employed by an investment company.
Theoretical underpinnings.- Modelling credit default swap prices.- Simulation of government bond spread increase.
Erscheinungsdatum | 05.01.2018 |
---|---|
Reihe/Serie | BestMasters |
Zusatzinfo | XVII, 85 p. 4 illus. |
Verlagsort | Wiesbaden |
Sprache | englisch |
Maße | 148 x 210 mm |
Gewicht | 146 g |
Themenwelt | Wirtschaft ► Betriebswirtschaft / Management ► Finanzierung |
Wirtschaft ► Volkswirtschaftslehre ► Makroökonomie | |
Schlagworte | Credit default instruments • Credit Default Swaps • credit derivatives • Fixed Income Instruments • government bonds • Investments and Securities • Modelling credit default swap(CDS) prices • Sovereign Bonds |
ISBN-10 | 3-658-20218-1 / 3658202181 |
ISBN-13 | 978-3-658-20218-7 / 9783658202187 |
Zustand | Neuware |
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