Verena Anna Berger
Impact of Government Bonds Spreads on Credit Derivatives
Analysis of Increasing Spreads Developments within the European Area
Paperback Engels 2017 9783658202187Levertijd ongeveer 9 werkdagen
Gratis verzonden
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.
Specificaties
ISBN13:9783658202187
Taal:Engels
Bindwijze:paperback
Uitgever:Springer Fachmedien Wiesbaden
Serie:BestMasters
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Inhoudsopgave
<p>Theoretical underpinnings.- Modelling credit default swap prices.- Simulation of government bond spread increase.</p>
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