Essays about: "Credit spreads"

Showing result 1 - 5 of 68 essays containing the words Credit spreads.

  1. 1. Probability of Default and Credit Spreads in Banks: Examining a Modified Merton Model for Assessing Bank Risk

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Linus Sigurdson; Fritiof Carling; [2020]
    Keywords : Banks; RNPD; Merton model; Credit spreads; Risk;

    Abstract : We examine the modified Merton model, as proposed by Nagel and Purnanandam (2019), and its ability to explain bank credit risk by comparing it to the standard Merton model. Previous structural models of default risk build on the assumption that assets follow a log-normal distribution, which is not applicable to banks. READ MORE

  3. 2. Housing Finance and the Transmission of Mortgage Spread Shocks

    University essay from Uppsala universitet/Nationalekonomiska institutionen

    Author : Denise Hansson; [2020]
    Keywords : Mortgage spread; credit supply; housing demand; monetary policy; business cycle;

    Abstract : Credit market frictions, captured by mortgage spreads, are potentially an equally important driver behind mortgage rate innovations as monetary policy. Possibly a significant driver of business cycles. Yet, the effect of such shocks on the economy has barely received any attention in empirical research. READ MORE

  4. 3. Firm internationalization and the Debt Cost of Capital: Evidence from publicly traded debt in the US

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Andreas Danielsson; Arne Rubin; [2020]
    Keywords : Internationalization; Cost of Debt; Multi-nationality; MNCs;

    Abstract : This paper examines the association between the firm internationalization and the cost of debt using bond credit ratings and bond credit spreads. Replicating the paper by Reeb, Mansi and Allee (2001) and then extending the study with more recent data from the period 2002-2019, we confirm their findings that higher levels of firm international activity are associated with a lower debt cost of capital. READ MORE

  5. 4. On the Proxy Modelling of Risk-Neutral Default Probabilities

    University essay from KTH/Matematisk statistik

    Author : Edvin Lundström; [2020]
    Keywords : Counterparty Credit Risk; Credit Valuation Adjustment; CVA; Credit modelling; Reduced form model; Proxy model; Hazard rate; Cross-section model; Nomura model; Motpartsrisk; Kreditvärderingsjustering; CVA; Kreditmodellering; Proxymodellering; Nomuramodellen;

    Abstract : Since the default of Lehman Brothers in 2008, it has become increasingly important to measure, manage and price the default risk in financial derivatives. Default risk in financial derivatives is referred to as counterparty credit risk (CCR). The price of CCR is captured in Credit Valuation Adjustment (CVA). READ MORE

  6. 5. Constructing the term structure of the U.S. corporate credit spread components - is there a relationship with the real economy?

    University essay from Handelshögskolan i Stockholm/Institutionen för nationalekonomi

    Author : Diana Iovanel; [2020]
    Keywords : Macro-finance; Term structure; Level factor; Slope factor; Business cycles;

    Abstract : This paper decomposes the credit spread of U.S. corporate bonds into a component driven by issuer default-risk and a component common to all bonds in the market. It then uses these components to develop a procedure for constructing their term structure. READ MORE