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Impact of Government Bonds Spreads on Credit Derivatives : Analysis of Increasing Spreads Developments within the European Area. 信用デリバティブへの国債の普及の影響
・ISBN 978-3-658-20218-7 paper EUR 49.99
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| 著者・編者 | Berger, Verena Anna, |
|---|---|
| シリーズ | BestMasters |
| 出版社 | (Springer Gabler, GW) |
| 出版年月 | 2018 |
| ページ数 | 85 pp. |
| 言語 | ENG |
| ニュース番号 | ＜644-607 644-P1166＞ |
解説
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.