Impact of Government Bonds Spreads on Credit Derivatives Analysis of Increasing Spreads Developments within the European Area /

• Κύριος συγγραφέας: Berger, Verena Anna (Συγγραφέας, http://id.loc.gov/vocabulary/relators/aut)
• Συγγραφή απο Οργανισμό/Αρχή: SpringerLink (Online service)
• Μορφή: Ηλεκτρονική πηγή Ηλ. βιβλίο
• Γλώσσα: English
• Έκδοση: Wiesbaden : Springer Fachmedien Wiesbaden : Imprint: Springer Gabler, 2018.
• Έκδοση: 1st ed. 2018.
• Σειρά: BestMasters,
• Θέματα: International finance.; Investment banking.; Securities.; International Finance.; Investments and Securities.

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...

Πίνακας περιεχομένων:

• Theoretical underpinnings
• Modelling credit default swap prices
• Simulation of government bond spread increase.