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Market discipline, financial integration and fiscal rules: what drives spreads in the euro area government bond market?

Manganelli, Simone; Wolswijk, Guido - 2007

This paper studies the determinants of interest rate spreads of euro area 10 year government bonds against the benchmark, the German bund, after the introduction of the euro. In particular, it pays attention to the question whether market discipline is advanced or obstructed by financial...

Persistent link: https://www.econbiz.de/10011604791

The term structure of risk premia: new evidence from the financial crisis

Berg, Tobias - 2010

This study calibrates the term structure of risk premia before and during the 2007/2008 financial crisis using a new calibration approach based on credit default swaps. The risk premium term structure was flat before the crisis and downward sloping during the crisis. The instantaneous risk...

Persistent link: https://www.econbiz.de/10011605211

Modeling default dependence with threshold models

Overbeck, Ludger; Schmidt, Wolfgang M. - 2003

We investigate the problem of modeling defaults of dependent credits. In the framework of the class of structural default models we study threshold models where for each credit the underling ability-to-pay process is a transformation of a Wiener processes. We propose a model for dependent...

Persistent link: https://www.econbiz.de/10003853455

Modellierung des Kreditrisikos im Einwertpapierfall

Cremers, Heinz; Walzner, Jens - 2009

valid valuation techniques. A sound understanding of already existing credit pricing models is necessary for such a … development. These models are the key focus of this working paper. -- Credit risk pricing models ; asset-based models ; asset … ; pricing ; valuation ; default spread ; risk management ; credit portfolio management …

Persistent link: https://www.econbiz.de/10003874931

Modellierung des Kreditrisikos im Portfoliofall

Cremers, Heinz; Walzner, Jens - 2009

valuation techniques. A sound understanding of already existing credit pricing models is necessary for such a development. These … models are the key focus of this working paper. -- Credit risk pricing models ; asset-based models ; asset-value models … ; structural models ; intensity-based models ; reduced-form models ; credit derivatives ; credit default swap ; pricing ; valuation …

Persistent link: https://www.econbiz.de/10003874932

Eine Analyse des Credit Spreads und seiner Komponenten als Grundlage für Hedge Strategien mit Kreditderivaten

Krones, Julia; Cremers, Heinz - 2012

In almost every financial market crisis we can observe widening credit spreads, especially in the last years during the subprime and sovereign debt crisis. But what exactly drives the credit spread? This paper will outline static components, i.e. default risk, liquidity, risk and the relative...

Persistent link: https://www.econbiz.de/10009576035

Functions and characteristics of corporate and sovereign CDS

Vogel, Heinz-Dieter; Bannier, Christina E.; Heidorn, Thomas - 2013

After the onset of the subprime crisis and the European debt crisis, credit default swaps (CDS) have seen a strong increase in usage. Particularly sovereign CDS protection has been sought after, paralleling the rise in sovereign debt levels, slumps in GDP growth and political tensions in...

Persistent link: https://www.econbiz.de/10009791122

Risikosteuerung mit Kreditderivaten unter besonderer Berücksichtigung von Credit Default Swaps

Cremers, Heinz; Walzner, Jens - 2007

derivatives ; credit derivatives market ; credit default swap ; credit risk transfer ; pricing ; valuation ; default spread …

Persistent link: https://www.econbiz.de/10003750300

Liquidity and Credit Risk Premia in Government Bond Yields

Ejsing, Jacob - 2012

This paper quantifies liquidity and credit premia in German and French government bond yields. For this purpose, we estimate term structures of government-guaranteed agency bonds and exploit the fact that any difference in their yields vis-`a-vis government bonds can be attributed to differences...

Persistent link: https://www.econbiz.de/10013106056

An Empirical Study on the Decoupling Movements between Corporate Bond and CDS Spreads

Alexopoulou, Ioana - 2009

turmoil in the summer of 2007 induced a substantial increase in risk aversion and a shift in the pricing of credit risk, with …

Persistent link: https://www.econbiz.de/10013156973