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This study empirically examine the impact of market conditions on credit spreads as motivated by recently developed structural credit risk models. Using credit default swap (CDS) spreads, we find that, in the time series, average credit spreads are decreasing in GDP growth rate, but increasing...
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On 3 December EY hosted a SUERF conference on banking reform with Sir Howard Davies, the Chairman of RBS, and Dame Colette Bowe, the Chairman of the Banking Standards Board, as the two keynote speakers. Professor David Miles (Imperial College) gave the SUERF 2015 Annual Lecture on Capital and...
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SUERF – The European Money and Finance Forum, the Deutsche Bundesbank and the Institute for Monetary and Financial Stability (IMFS) took the opportunity of the first anniversary of this new institution to organise a joint conference in Berlin on 8-9 November 2011. The purpose of this event was...
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This paper presents a new approach, based on the Merton model, to decomposing corporate bond spreads into the expected … loss, bond risk premium and liquidity premium components. The approach focuses on establishing the bond risk premium using …, French, Spanish and Italian firms. The results show that the bond risk premium is the largest component. While the expected …
Persistent link: https://www.econbiz.de/10011122560