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Impact of Government Bonds Spreads on Credit Derivatives

Analysis of Increasing Spreads Developments within the European Area

Verena Anna Berger

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Springer Fachmedien Wiesbaden img Link Publisher

Sozialwissenschaften, Recht, Wirtschaft / Internationale Wirtschaft

Beschreibung

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. In the first step, these spreads are computed with the help of the Hull-White model to demonstrate the theoretical calculation. 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. However, there is high variation between the analysed countries so that a country-specific evaluation instead of a general review is recommended by the author.

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Schlagwörter

investments and securities, Government Bonds, Fixed Income Instruments, Credit Derivatives, Credit default instruments, Modelling credit default swap(CDS) prices, Sovereign Bonds, Credit default swaps