Essays about: "Credit spreads"

Showing result 16 - 20 of 81 essays containing the words Credit spreads.

  1. 16. 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

  3. 17. 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

  4. 18. 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

  5. 19. Government yield spread determinants in the eurozone and the effect of the European debt crisis

    University essay from KTH/Skolan för industriell teknik och management (ITM)

    Author : Arian Kalantari; [2019]
    Keywords : Government bonds; yield spread; eurozone; European debt crisis; risk; Statsobligationer; räntor; spread; euroområdet; risk; skuldkrisen;

    Abstract : The inception of the economic and monetary union (EMU) in January 1999 created new conditions for government debt. By eliminating currency exchange rate risk between the member states, the hope was to achieve a more sustainable and integrated government debt market in the euro area. READ MORE

  6. 20. Forecasting High Yield Corporate Bond Industry Excess Return

    University essay from KTH/Matematisk statistik

    Author : Carlos Junior Lopez Vydrin; [2018]
    Keywords : ;

    Abstract : In this thesis, we apply unsupervised and supervised statistical learning methods on the high-yield corporate bond market with the goal of predicting its future excess return. We analyse the excess return of industry based indices of high-yield corporate bonds belonging to the Chemical, Metals, Paper, Building Materials, Packaging, Telecom, and Electric Utility industry. READ MORE