Impact of Government Bonds Spreads on Credit Derivatives: Analysis of Increasing Spreads Developments within the European Area

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. Front Matter ....Pages I-XVII Introduction (Verena Anna Berger)....Pages 1-6 Theoretical underpinnings (Verena Anna Berger)....Pages 7-25 Modelling credit default swap prices (Verena Anna Berger)....Pages 27-43 Simulation of government bond spread increase (Verena Anna Berger)....Pages 45-70 Results (Verena Anna Berger)....Pages 71-77 Concluding remarks (Verena Anna Berger)....Pages 79-81 Back Matter ....Pages 83-85