Similar Search Results

Correlation between intensity and recovery in credit risk models

Gaspar, Raquel M.; Slinko, Irina - 2005

We start by presenting a reduced-form multiple default type of model and derive abstract results on the influence of a state variable X on credit spreads, when both the intensity and the loss quota distribution are driven by X. The aim is to apply the results to a concrete real life situation,...

Persistent link: https://www.econbiz.de/10010281231

Corporate credit and leverage in the EU: Recent evolution, main drivers and financial stability implications

Beck, Thorsten; Peltonen, Tuomo; Perotti, Enrico C.; … - 2023

This report presents a long-term view of the evolution of financing of EU non-financial corporations (NFCs) in recent decades. It finds a decline in NFC leverage since at least 2008, and across countries, size categories and industries. It also documents a growing role of non-bank financial...

Persistent link: https://www.econbiz.de/10014327946

Determinants of Euro Term Structure of Credit Spreads

Van Landschoot, Astrid - 2004

depends on bond characteristics such as rating and maturity. First, we estimate the term structure of credit spreads for … risk significantly influence credit spread changes. The effect of these factors strongly depends on bond characteristics …

Persistent link: https://www.econbiz.de/10011506579

The comovement of credit default swap, bond and stock markets: An empirical analysis

Norden, Lars; Weber, Martin - 2004

This paper analyzes the empirical relationship between credit default swap, bond and stock markets during the period … autoregressive model and the adjustment between markets caused by cointegration. First, we find that stock returns lead CDS and bond … spread changes. Second, CDS spread changes Granger cause bond spread changes for a higher number of firms than vice versa …

Persistent link: https://www.econbiz.de/10010298261

Euro corporate bonds risk factors

Castagnetti, Carolina; Rossi, Eduardo - 2006

This paper investigates the determinants of credit spread changes on bonds denominated in euro. The analysis is carried out using a panel data on euro bonds. We try to asses the relative importance of market and idiosyncratic factors in explaining the movements in credit spread. Because credit...

Persistent link: https://www.econbiz.de/10010326120

A note on the valuation of risky corporate bonds

Schöbel, Rainer - 1997

Simple formulas for the price of corporate discount and coupon bonds are found using the Longstaff and Schwartz valuation approach for the debt claims of a firm, where default is triggered by a special State variable: the firm's asset-to-debt-ratio. Instead of keeping the total amount of debt...

Persistent link: https://www.econbiz.de/10010435546

Trading the bond-CDS basis: The role of credit risk and liquidity

Trapp, Monika - 2009

We analyze trading opportunities that arise from differences between the bond and the CDS market. By simultaneously … entering a position in a CDS contract and the underlying bond, traders can build a default-risk free position that allows them … to repeatedly earn the difference between the bond asset swap spread and the CDS, known as the basis. We show that the …

Persistent link: https://www.econbiz.de/10010302537

Using transfer entropy to measure information flows between financial markets

Dimpfl, Thomas; Peter, Franziska J. - 2012

corporate bond market for the pricing of credit risk. We also analyze the dynamic relation between market risk and credit risk …

Persistent link: https://www.econbiz.de/10010318778

Determinants of corporate financing decisions: A survey evidence from Czech firms

Jindřichovská, Irena; Körner, Pavel - 2008

This paper investigates the empirical evidence on determinants of financing decisions on the pool of respondents among financial managers of Czech firms. The theoretical section provides an overview of prominent contemporary theories on capital structure. Employing Chi-square Sign Test and Logit...

Persistent link: https://www.econbiz.de/10010322315

Capital structure decisions under the German tax code

Nippel, Peter - 2006

We consider the tax advantage of an increase in the firms leverage under the German tax code. The analysis is performed (i) for the case of a given investment and future dividend policy and (ii) to decide on the relative tax advantage of debt versus equity for funding new investments. We start...

Persistent link: https://www.econbiz.de/10011558817

1
2
3
4
5
6
7
8
9
10
Next
Last