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Impact of Government Bonds Spreads on Credit Derivatives

- Analysis of Increasing Spreads Developments within the European Area

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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. 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.

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  • Sprog:
  • Engelsk
  • ISBN:
  • 9783658202187
  • Indbinding:
  • Paperback
  • Sideantal:
  • 85
  • Udgivet:
  • 13. december 2017
  • Udgave:
  • 12018
  • Vægt:
  • 1457 g.
  • 8-11 hverdage.
  • 16. december 2024
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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. 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.

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