Impact of government bonds spreads on credit derivatives : analysis of increasing spreads developments within the European area / Verena Berger
Berger, Verena, author.
2018
HG4715
Available Online

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Title Impact of government bonds spreads on credit derivatives : analysis of increasing spreads developments within the European area / Verena Berger
Author Berger, Verena, author.
ISBN 9783658202194 (electronic book)
365820219X (electronic book)
3658202181
9783658202187
Publication Details Wiesbaden : Springer Gabler, ©2018
Language English
Description 1 online resource.
Call Number HG4715
Dewey Decimal Classification 332.63232
Summary 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.-- Provided by publisher.
Bibliography, etc. Note Includes bibliographical references.
Access Note Access limited to authorized users.
Series BestMasters.
Available in Other Form Print version: 9783658202187
Linked Resources Online Access
Record Appears in Online Resources > Ebooks
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Theoretical underpinnings
Modelling credit default swap prices
Simulation of government bond spread increase.

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