Impact of Government Bonds Spreads on Credit Derivatives - Analysis of Increasing Spreads Developments within the European Area (Paperback, 1st ed. 2018)

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.

General

Imprint:	Springer Gabler
Country of origin:	Germany
Series:	BestMasters
Release date:	December 2017
First published:	2018
Authors:	Verena Anna Berger
Dimensions:	210 x 148mm (L x W)
Format:	Paperback
Pages:	85
Edition:	1st ed. 2018
ISBN-13:	978-3-658-20218-7
Categories:	Books > Business & Economics > Economics > International economics > International finance Books > Business & Economics > Finance & accounting > Finance > Investment & securities > General Books > Money & Finance > Investment & securities > General
LSN:	3-658-20218-1
Barcode:	9783658202187

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