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OverviewVerena 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. Full Product DetailsAuthor: Verena Anna BergerPublisher: Springer-Verlag Berlin and Heidelberg GmbH & Co. KG Imprint: Springer Gabler Edition: 1st ed. 2018 Weight: 1.457kg ISBN: 9783658202187ISBN 10: 3658202181 Pages: 85 Publication Date: 13 December 2017 Audience: College/higher education , Postgraduate, Research & Scholarly Format: Paperback Publisher's Status: Active Availability: Manufactured on demand  We will order this item for you from a manufactured on demand supplier. Table of ContentsReviewsAuthor InformationVerena 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. Tab Content 6Author Website:Countries AvailableAll regions |
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