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Impact of Government Bonds Spreads on Credit Derivatives by Verena Anna Berger
Impact of Government Bonds Spreads on Credit Derivatives by Verena Anna Berger
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Impact of Government Bonds Spreads on Credit Derivatives

Analysis of Increasing Spreads Developments within the European Area
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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.

Author Biography:

Verena Anna Berger graduated from the University of Applied Science Vienna with a Master of Arts in Quantitative Asset and Risk Management. As a risk manager, she is currently employed by an investment company.
Release date Australia
December 13th, 2017
Audience
  • Postgraduate, Research & Scholarly
Edition
1st ed. 2018
Illustrations
4 Illustrations, black and white; XVII, 85 p. 4 illus.
Pages
85
ISBN-13
9783658202187
Product ID
27298485

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