Author: Sungmin Jo
Publisher:
ISBN:
Category :
Languages : en
Pages : 35
Book Description
This study investigates determinants of credit spreads on U.S. dollar-denominated Asian corporate bonds. Using a country-level unbalanced panel dataset of Asian corporate bond indices, I find that global factors including U.S. corporate bond spreads and the U.S. long-term Treasury yield are main determinants of Asian corporate bond spreads. Principal component analysis also demonstrates that only a few variables account for the variation in Asian corporate bond spreads. Moreover, global factors have the greatest impact on credit spreads in the financial sector and the smallest impact on credit spreads in the utility sector. Finally, my results show that Asian corporate credit spreads respond more substantially to the U.S. monetary easing than to the U.S. monetary tightening, and they also react more strongly to widening U.S. credit spreads than to narrowing U.S. credit spreads.
Determinants of Credit Spreads on U.S. Dollar-denominated Asian Corporate Bonds
Author: Sungmin Jo
Publisher:
ISBN:
Category :
Languages : en
Pages : 35
Book Description
This study investigates determinants of credit spreads on U.S. dollar-denominated Asian corporate bonds. Using a country-level unbalanced panel dataset of Asian corporate bond indices, I find that global factors including U.S. corporate bond spreads and the U.S. long-term Treasury yield are main determinants of Asian corporate bond spreads. Principal component analysis also demonstrates that only a few variables account for the variation in Asian corporate bond spreads. Moreover, global factors have the greatest impact on credit spreads in the financial sector and the smallest impact on credit spreads in the utility sector. Finally, my results show that Asian corporate credit spreads respond more substantially to the U.S. monetary easing than to the U.S. monetary tightening, and they also react more strongly to widening U.S. credit spreads than to narrowing U.S. credit spreads.
Publisher:
ISBN:
Category :
Languages : en
Pages : 35
Book Description
This study investigates determinants of credit spreads on U.S. dollar-denominated Asian corporate bonds. Using a country-level unbalanced panel dataset of Asian corporate bond indices, I find that global factors including U.S. corporate bond spreads and the U.S. long-term Treasury yield are main determinants of Asian corporate bond spreads. Principal component analysis also demonstrates that only a few variables account for the variation in Asian corporate bond spreads. Moreover, global factors have the greatest impact on credit spreads in the financial sector and the smallest impact on credit spreads in the utility sector. Finally, my results show that Asian corporate credit spreads respond more substantially to the U.S. monetary easing than to the U.S. monetary tightening, and they also react more strongly to widening U.S. credit spreads than to narrowing U.S. credit spreads.
Determinants of Credit Spreads
Author: Arne Wilkes
Publisher: Peter Lang Gmbh, Internationaler Verlag Der Wissenschaften
ISBN: 9783631606049
Category : Bond market
Languages : en
Pages : 0
Book Description
Credit spreads express how markets evaluate the riskiness of corporate bonds compared to risk-free investments. Since credit spreads have been highly volatile especially during the last decade it is important for academics and practitioners alike to understand the dynamic interdependencies between credit spreads and their determinants. Based on a sample of European corporate bonds and different macroeconomic variables the author analyzes the determinants of credit spreads during the period of 1999 to 2009. With a macro-finance term structure model he shows that the European corporate bond market is largely integrated with some remaining segmentation. Furthermore, panel regressions yield that declining liquidity leads to a significant widening of credit spreads especially during the recent financial crisis. Finally, he demonstrates based on a cointegration analysis that a long-term relationship exists between credit spreads and their determinants and that credit spreads were significantly overpriced after the collapse of Lehman Brothers but have almost returned to equilibrium towards the end of 2009.
Publisher: Peter Lang Gmbh, Internationaler Verlag Der Wissenschaften
ISBN: 9783631606049
Category : Bond market
Languages : en
Pages : 0
Book Description
Credit spreads express how markets evaluate the riskiness of corporate bonds compared to risk-free investments. Since credit spreads have been highly volatile especially during the last decade it is important for academics and practitioners alike to understand the dynamic interdependencies between credit spreads and their determinants. Based on a sample of European corporate bonds and different macroeconomic variables the author analyzes the determinants of credit spreads during the period of 1999 to 2009. With a macro-finance term structure model he shows that the European corporate bond market is largely integrated with some remaining segmentation. Furthermore, panel regressions yield that declining liquidity leads to a significant widening of credit spreads especially during the recent financial crisis. Finally, he demonstrates based on a cointegration analysis that a long-term relationship exists between credit spreads and their determinants and that credit spreads were significantly overpriced after the collapse of Lehman Brothers but have almost returned to equilibrium towards the end of 2009.
The Determinants of Credit Spread Changes
Author: Pierre Collin Dufresne
Publisher:
ISBN:
Category :
Languages : en
Pages : 31
Book Description
Publisher:
ISBN:
Category :
Languages : en
Pages : 31
Book Description
Estimating the systematic component of credit spreads
Author: Sebastian Wilde
Publisher: GRIN Verlag
ISBN: 334670761X
Category : Business & Economics
Languages : en
Pages : 79
Book Description
Master's Thesis from the year 2022 in the subject Economics - Finance, grade: 1,7, University of Hagen (Fakultät für Wirtschaftswissenschaft, Lehrstuhl für Bank- und Finanzwirtschaft), language: English, abstract: Corporate bond credit spreads are much larger than historical default rates, which leads to an unexplained gap between the default premium component and total credit spread. This gap is referred to as the "credit spread puzzle" in the literature and has driven the discussion of the components of credit spreads in the past decades. The size of each component affects the decision of whether to purchase a particular class of bonds; this underlines its importance in risk management, portfolio management, and valuation. The first goal of the thesis is to provide a comprehensive review of the current state of research on how to decompose credit spreads and estimate their parts. Second, in an empirical study, the systematic risk in current EUR-denominated credit spreads is estimated and compared to the results of Elton et al. (2001). Furthermore, I analyze the regime-dependence of credit spreads for different cross-sections, as systematic risk has proven important in crisis periods. Finally, implications for the calculation of debt beta are derived as in business valuations it is possible to use a debt beta if the debt of the valuation object is subject to a systematic risk that leads to a signifcant risk premium demanded by debt providers. I show that the systematic part of the credit spread for observed EUR-denominated bond spreads from 2009 to 2021 can be assumed higher than in the US bond market, is regime-dependent and would have direct implications on the calculation and relevance of a debt beta for business valuations.
Publisher: GRIN Verlag
ISBN: 334670761X
Category : Business & Economics
Languages : en
Pages : 79
Book Description
Master's Thesis from the year 2022 in the subject Economics - Finance, grade: 1,7, University of Hagen (Fakultät für Wirtschaftswissenschaft, Lehrstuhl für Bank- und Finanzwirtschaft), language: English, abstract: Corporate bond credit spreads are much larger than historical default rates, which leads to an unexplained gap between the default premium component and total credit spread. This gap is referred to as the "credit spread puzzle" in the literature and has driven the discussion of the components of credit spreads in the past decades. The size of each component affects the decision of whether to purchase a particular class of bonds; this underlines its importance in risk management, portfolio management, and valuation. The first goal of the thesis is to provide a comprehensive review of the current state of research on how to decompose credit spreads and estimate their parts. Second, in an empirical study, the systematic risk in current EUR-denominated credit spreads is estimated and compared to the results of Elton et al. (2001). Furthermore, I analyze the regime-dependence of credit spreads for different cross-sections, as systematic risk has proven important in crisis periods. Finally, implications for the calculation of debt beta are derived as in business valuations it is possible to use a debt beta if the debt of the valuation object is subject to a systematic risk that leads to a signifcant risk premium demanded by debt providers. I show that the systematic part of the credit spread for observed EUR-denominated bond spreads from 2009 to 2021 can be assumed higher than in the US bond market, is regime-dependent and would have direct implications on the calculation and relevance of a debt beta for business valuations.
The Determinants of Credit Spreads
Determinants of Credit Spreads of Financial Institutions
Author:
Publisher: GRIN Verlag
ISBN: 3668069301
Category : Business & Economics
Languages : en
Pages : 104
Book Description
Master's Thesis from the year 2013 in the subject Business economics - Banking, Stock Exchanges, Insurance, Accounting, grade: 1,0, Catholic University Eichstätt-Ingolstadt (Lehrstuhl für Finanzierung und Banken), language: English, abstract: In the recent years global credit institutions were characterized by instabilities, consolidations and high levels of distress, with the industry strongly depending on governmental support to avoid a full economical collapse initiated by the unexpected default of Lehman Brothers. As a consequence of the strong state interferences as well as the implicit and explicit governmental guarantees in the midyear of 2010 the Global Financial Crisis turned into a Sovereign Debt Crisis in the peripheral Eurozone, especially for the so-called PIIGS countries (Portugal, Ireland, Italy, Greece and Spain). Consequently, global banks show a high level of interdependencies with their sovereigns and have been the most discussed industry in global economical markets during the last years. In such periods it is particularly important to understand the drivers of the credit risks within the financial industry. Therefore, the main purpose of this study is to explore the determinants of the credit risk for the global banking universe and to investigate these determinants for robustness during high volatile and structurally changing market environments. ...
Publisher: GRIN Verlag
ISBN: 3668069301
Category : Business & Economics
Languages : en
Pages : 104
Book Description
Master's Thesis from the year 2013 in the subject Business economics - Banking, Stock Exchanges, Insurance, Accounting, grade: 1,0, Catholic University Eichstätt-Ingolstadt (Lehrstuhl für Finanzierung und Banken), language: English, abstract: In the recent years global credit institutions were characterized by instabilities, consolidations and high levels of distress, with the industry strongly depending on governmental support to avoid a full economical collapse initiated by the unexpected default of Lehman Brothers. As a consequence of the strong state interferences as well as the implicit and explicit governmental guarantees in the midyear of 2010 the Global Financial Crisis turned into a Sovereign Debt Crisis in the peripheral Eurozone, especially for the so-called PIIGS countries (Portugal, Ireland, Italy, Greece and Spain). Consequently, global banks show a high level of interdependencies with their sovereigns and have been the most discussed industry in global economical markets during the last years. In such periods it is particularly important to understand the drivers of the credit risks within the financial industry. Therefore, the main purpose of this study is to explore the determinants of the credit risk for the global banking universe and to investigate these determinants for robustness during high volatile and structurally changing market environments. ...
Determinants of Credit Spreads
Author: Thomas Ruf
Publisher:
ISBN: 9783931289690
Category :
Languages : en
Pages : 127
Book Description
Publisher:
ISBN: 9783931289690
Category :
Languages : en
Pages : 127
Book Description
The Determinants of Credit Spreads with Structural Models and Beyond
Statistical Reasoning with Imprecise Probabilities
Author: Peter Walley
Publisher: Chapman and Hall/CRC
ISBN:
Category : Mathematics
Languages : en
Pages : 728
Book Description
An examination of topics involved in statistical reasoning with imprecise probabilities. The book discusses assessment and elicitation, extensions, envelopes and decisions, the importance of imprecision, conditional previsions and coherent statistical models.
Publisher: Chapman and Hall/CRC
ISBN:
Category : Mathematics
Languages : en
Pages : 728
Book Description
An examination of topics involved in statistical reasoning with imprecise probabilities. The book discusses assessment and elicitation, extensions, envelopes and decisions, the importance of imprecision, conditional previsions and coherent statistical models.