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

Autor Verena Anna Berger
en Limba Engleză Paperback – 13 dec 2017
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 main findings which are calculated by using the Fontana-Scheicher model show that a negative impact on credit default swap spreads is observed based on the analysed data. However, there is high variation between the analysed countries so that a country-specific evaluation instead of a general review is recommended by the author.
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Specificații

ISBN-13: 9783658202187
ISBN-10: 3658202181
Pagini: 81
Ilustrații: XVII, 85 p. 4 illus.
Dimensiuni: 148 x 210 mm
Greutate: 0.13 kg
Ediția:1st ed. 2018
Editura: Springer Fachmedien Wiesbaden
Colecția Springer Gabler
Seria BestMasters

Locul publicării:Wiesbaden, Germany

Cuprins

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

Notă biografică

Verena Anna Berger graduated from the University of Applied Science Vienna with a Master of Arts in Quantitative Asset and Risk Management. As a risk manager, she is currently employed by an investment company.

Textul de pe ultima copertă

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 main findings which are calculated by using the Fontana-Scheicher model show that a negative impact on credit default swap spreads is observed based on the analysed data. However, there is high variation between the analysed countries so that a country-specific evaluation instead of a general review is recommended by the author.

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

Target Groups
• Lecturers and students of finance, asset management
• Experts in asset management, sovereign bond markets andcredit default swaps 

The Author
Verena Anna Berger graduated from the University of Applied Science Vienna with a Master of Arts in Quantitative Asset and Risk Management. As a risk manager, she is currently employed by an investment company.


Caracteristici

A study in business economics Includes supplementary material: sn.pub/extras