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Impact of Government Bonds Spreads on Credit Derivatives

Analysis of Increasing Spreads Developments within the European Area

  • Verena Anna Berger

Part of the BestMasters book series (BEST)

Table of contents

  1. Front Matter
    Pages I-XVII
  2. Verena Anna Berger
    Pages 1-6
  3. Verena Anna Berger
    Pages 7-25
  4. Verena Anna Berger
    Pages 27-43
  5. Verena Anna Berger
    Pages 45-70
  6. Verena Anna Berger
    Pages 71-77
  7. Verena Anna Berger
    Pages 79-81
  8. Back Matter
    Pages 83-85

About this book

Introduction

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.

Contents
• Theoretical underpinnings
• Modelling credit default swap prices
• Simulation of government bond spread increase

Target Groups
• Lecturers and students of finance, asset management
• Experts in asset management, sovereign bond markets and credit default swaps 

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.

Keywords

Credit default swaps Credit default instruments Sovereign Bonds Modelling credit default swap(CDS) prices Government Bonds Fixed Income Instruments Credit Derivatives

Authors and affiliations

  • Verena Anna Berger
    • 1
  1. 1.Fachbereich Quantitative AssetFachhochschule des bfi Wien WienAustria

Bibliographic information

  • DOI https://doi.org/10.1007/978-3-658-20219-4
  • Copyright Information Springer Fachmedien Wiesbaden GmbH 2018
  • Publisher Name Springer Gabler, Wiesbaden
  • eBook Packages Economics and Finance
  • Print ISBN 978-3-658-20218-7
  • Online ISBN 978-3-658-20219-4
  • Buy this book on publisher's site