Overview
- A study in business economics
- Includes supplementary material: sn.pub/extras
Part of the book series: BestMasters (BEST)
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Table of contents (6 chapters)
Keywords
About this book
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.
Authors and Affiliations
About the author
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.
Bibliographic Information
Book Title: Impact of Government Bonds Spreads on Credit Derivatives
Book Subtitle: Analysis of Increasing Spreads Developments within the European Area
Authors: Verena Anna Berger
Series Title: BestMasters
DOI: https://doi.org/10.1007/978-3-658-20219-4
Publisher: Springer Gabler Wiesbaden
eBook Packages: Economics and Finance, Economics and Finance (R0)
Copyright Information: Springer Fachmedien Wiesbaden GmbH 2018
Softcover ISBN: 978-3-658-20218-7Published: 13 December 2017
eBook ISBN: 978-3-658-20219-4Published: 30 November 2017
Series ISSN: 2625-3577
Series E-ISSN: 2625-3615
Edition Number: 1
Number of Pages: XVII, 85
Number of Illustrations: 4 b/w illustrations