Similar Search Results

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 pricing of risk in European credit and corporate bond markets

Berndt, Antje; Obreja, Iulian - 2007

spreads. Using a modified version of the intertemporal capital asset pricing model, we show that default risk premia represent … tails. The pricing implications of this new factor are not limited to credit markets only. We find that this common factor … is priced consistently across a broad spectrum of corporate bond portfolios. In addition, our asset pricing tests also …

Persistent link: https://www.econbiz.de/10011604851

A value at risk analysis of cedit default swaps

Raunig, Burkhard; Scheicher, Martin - 2008

We investigate the risk of holding credit default swaps(CDS) in the trading book and compare the Value at Risk (VaR) of a CDS position to the VaR for investing in the respective firm’s equity using a sample of CDS – stock price pairs for 86 actively traded firms over the period from March...

Persistent link: https://www.econbiz.de/10011605014

An empirical study on the decoupling movements between corporate bond and CDS spreads

Alexopoulou, Ioana; Andersson, Magnus; Georgescu, Oana Maria - 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/10011605131

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

Leading Indicator Properties of Corporate Bond Spreads, Excess Bond Premia and Lending Spreads in the Euro Area

Krylova, Elizaveta - 2016

This paper analyses leading indicator properties of a broad set of credit spreads, compiled on the basis of information from both corporate bonds and bank loans for forecasting of real activity, unemployment, inflation and lending volumes in the euro area and in five major European economies. It...

Persistent link: https://www.econbiz.de/10012988612

Liquidity and Credit Risk Premia in Government Bond Yields

Ejsing, Jacob Wellendorph - 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

The Term Structure of Risk Premia : New Evidence from the Financial Crisis

Berg, Tobias - 2010

Persistent link: https://www.econbiz.de/10013146561

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

Market Perception of Sovereign Credit Risk in the Euro Area During the Financial Crisis

Camba-Méndez, Gonzalo - 2014

use a parsimonious CDS pricing model to estimate the probability of default (PD) and the loss given default (LGD) as …

Persistent link: https://www.econbiz.de/10013052936