Essays about: "corporate bond spread"

Showing result 16 - 20 of 33 essays containing the words corporate bond spread.

  1. 16. 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. 17. 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

  4. 18. 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

  5. 19. The visible hand of the central bank: Evidence from the ECB's Corporate Sector Purchase Program

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Hampus Persson; Nina Lundén; [2016]
    Keywords : Central bank supply shocks; unconventional monetary policy; asset purchase programs; corporate credit spreads;

    Abstract : On March 10, 2016 the ECB surprised financial markets by announcing the latest measure taken under its unconventional asset purchase programs, the CSPP. Through this program the ECB is purchasing corporate bonds and aims to support bond valuations through supply shocks. READ MORE

  6. 20. Dependence Modelling and Risk Analysis in a Joint Credit-Equity Framework

    University essay from KTH/Matematisk statistik

    Author : Fredrik Backman; [2015]
    Keywords : ;

    Abstract : This thesis is set in the intersection between separate types of financial markets, with emphasis on joint risk modelling. Relying on empirical findings pointing toward the ex- istence of dependence across equity and corporate debt markets, a simulation framework intended to capture this property is developed. READ MORE