Impact of Government Bonds Spreads on Credit Derivatives Analysis of Increasing Spreads Developments within the European Area

Taal: Engels
  • Engels
  • Paperback
  • 9783658202187
  • Druk: 1st ed. 2018
  • december 2017
  • 85 pagina's
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Samenvatting

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.

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Inhoud

Taal
Engels
Bindwijze
Paperback
Druk
1st ed. 2018
Verschijningsdatum
december 2017
Aantal pagina's
85 pagina's
Illustraties
Nee

Betrokkenen

Auteur
Verena Anna Berger
Uitgever
Mairdumont Gmbh & Co. Kg

EAN

EAN
9783658202187

Overige kenmerken

Extra groot lettertype
Nee
Subtitel
Analysis of Increasing Spreads Developments within the European Area
Thema Subject Code
KFFM

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