Impact of Government Bonds Spreads on Credit Derivatives PDF Download

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Impact of Government Bonds Spreads on Credit Derivatives

Impact of Government Bonds Spreads on Credit Derivatives PDF Author: Verena Anna Berger
Publisher: Springer
ISBN: 365820219X
Category : Business & Economics
Languages : en
Pages : 94

Book Description
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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