Essays about: "Credit spreads"

Showing result 21 - 25 of 81 essays containing the words Credit spreads.

  1. 21. Credit Spread Changes in the Euro Area - An Empirical Study of the Relationship Between Interest Rates and Credit Spreads in the Euro-denominated Corporate Bond Market

    University essay from

    Author : Hampus Johansson; Rickard Rehnberg; [2017-07-07]
    Keywords : ;

    Abstract : The behaviour of credit spreads is of importance for a wide array of stakeholders. We test the relationship between changes in risk-free interest rates and credit spreads in European bond market by running OLS regressions using weekly European market data for investment grade and non-investment grade bond indices. READ MORE

  3. 22. A study of the Basel III CVA formula

    University essay from

    Author : Rickard Olovsson; Erik Sundberg; [2017-07-03]
    Keywords : Basel III; Credit Value Adjustment; Counterparty Credit Risk; Credit Default Swap; Interest Rate Swap; Piecewise Constant Default Intensity; Bootstrapping; Expected Exposure; Internal Model Method;

    Abstract : In this thesis we compare the official Basel III method for computing credit value adjustment (CVA) against a model that assumes piecewise constant default intensities for a number of both market and fictive scenarios. CVA is defined as the price deducted from the risk-free value of a bilateral derivative to adjust for the counterparty credit risk. READ MORE

  4. 23. The impact of macro-economic indicators on credit spreads

    University essay from KTH/Matematisk statistik

    Author : Marouane Brahimi; [2017]
    Keywords : ;

    Abstract : A model of credit spreads variations, based on macroeconomic and market variables, has been developed and presented in this paper. Credit spreads of speculative and investment grade bonds have been investigated, leading us to a linear relationship between their quarterly variations. READ MORE

  5. 24. Structural Modelling of Credit Spreads on the European Bond Market: An Empirical Study

    University essay from Lunds universitet/Matematisk statistik

    Author : Marcus Zethraeus; Magnus Roos; [2017]
    Keywords : Structural models; Merton model; Black Cox model; European corporate bond spreads; Mathematics and Statistics;

    Abstract : This thesis empirically tests the explanatory power of structural models on the European corporate bond market. Using new evaluation methods, including LASSO and gradient boosting regression, we can provide an in-depth assessment of the models’ shortcomings. READ MORE

  6. 25. The Effect of Monetary Policy on the European Corporate Bond Market - Evidence from the yield and credit spread curve term structure

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Ida Marta Metsis; Laura Lindberg; [2017]
    Keywords : Monetary policy; Corporate bonds; Interest rate; Quantitative easing; Yield curve;

    Abstract : This paper examines the effect of monetary policy mechanisms used by the European Central Bank on the euro-denominated corporate bond market. The focus of the paper is to analyse the impact of the central bank set interest rate for main refinancing operations (MRO) and two of the recent quantitative easing programmes - Public Sector Purchase Programme and Corporate Sector Purchase Programme - on the entire corporate yield curve. READ MORE