Determinants of Credit Spreads

Download Determinants of Credit Spreads PDF Online Free

Author :
Publisher : Peter Lang Gmbh, Internationaler Verlag Der Wissenschaften
ISBN 13 : 9783631606049
Total Pages : 0 pages
Book Rating : 4.6/5 (6 download)

DOWNLOAD NOW!


Book Synopsis Determinants of Credit Spreads by : Arne Wilkes

Download or read book Determinants of Credit Spreads written by Arne Wilkes and published by Peter Lang Gmbh, Internationaler Verlag Der Wissenschaften. This book was released on 2011 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Credit spreads express how markets evaluate the riskiness of corporate bonds compared to risk-free investments. Since credit spreads have been highly volatile especially during the last decade it is important for academics and practitioners alike to understand the dynamic interdependencies between credit spreads and their determinants. Based on a sample of European corporate bonds and different macroeconomic variables the author analyzes the determinants of credit spreads during the period of 1999 to 2009. With a macro-finance term structure model he shows that the European corporate bond market is largely integrated with some remaining segmentation. Furthermore, panel regressions yield that declining liquidity leads to a significant widening of credit spreads especially during the recent financial crisis. Finally, he demonstrates based on a cointegration analysis that a long-term relationship exists between credit spreads and their determinants and that credit spreads were significantly overpriced after the collapse of Lehman Brothers but have almost returned to equilibrium towards the end of 2009.

Determinants of Credit Spreads

Download Determinants of Credit Spreads PDF Online Free

Author :
Publisher :
ISBN 13 : 9783931289690
Total Pages : 127 pages
Book Rating : 4.2/5 (896 download)

DOWNLOAD NOW!


Book Synopsis Determinants of Credit Spreads by : Thomas Ruf

Download or read book Determinants of Credit Spreads written by Thomas Ruf and published by . This book was released on 2006 with total page 127 pages. Available in PDF, EPUB and Kindle. Book excerpt:

The Fundamental Determinants of Credit Default Risk for European Large Complex Financial Institutions

Download The Fundamental Determinants of Credit Default Risk for European Large Complex Financial Institutions PDF Online Free

Author :
Publisher : International Monetary Fund
ISBN 13 : 1455201367
Total Pages : 33 pages
Book Rating : 4.4/5 (552 download)

DOWNLOAD NOW!


Book Synopsis The Fundamental Determinants of Credit Default Risk for European Large Complex Financial Institutions by : Jiri Podpiera

Download or read book The Fundamental Determinants of Credit Default Risk for European Large Complex Financial Institutions written by Jiri Podpiera and published by International Monetary Fund. This book was released on 2010-06-01 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper attempts to identify the fundamental variables that drive the credit default swaps during the initial phase of distress in selected European Large Complex Financial Institutions (LCFIs). It uses yearly data over 2004 - 08 for 29 European LCFIs. The results from a dynamic panel data estimator show that LCFIs’ business models, earnings potential, and economic uncertainty (represented by market expectations about the future risks of a particular LCFI and market views on prospects for economic growth) are among the most significant determinants of credit risk. The findings of the paper are broadly consistent with those of the literature on bank failure, where the determinants of the latter include the entire CAMELS structure - that is, Capital Adequacy, Asset Quality, Management Quality, Earnings Potential, Liquidity, and Sensitivity to Market Risk. By establishing a link between the financial and market fundamentals of LCFIs and their CDS spreads, the paper offers a potential tool for fundamentals-based vulnerability and early warning system for LCFIs.

Determinants of Emerging Market Sovereign Bond Spreads

Download Determinants of Emerging Market Sovereign Bond Spreads PDF Online Free

Author :
Publisher : International Monetary Fund
ISBN 13 : 1455210889
Total Pages : 27 pages
Book Rating : 4.4/5 (552 download)

DOWNLOAD NOW!


Book Synopsis Determinants of Emerging Market Sovereign Bond Spreads by : Iva Petrova

Download or read book Determinants of Emerging Market Sovereign Bond Spreads written by Iva Petrova and published by International Monetary Fund. This book was released on 2010-12-01 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper analyses the determimants of emerging market sovereign bond spreads by examining the short and long-run effects of fundamental (macroeconomic) and temporary (financial market) factors on these spreads. During the current global financial and economic crisis, sovereign bond spreads widened dramatically for both developed and emerging market economies. This deterioration has widely been attributed to rapidly growing public debts and balance sheet risks. Our results indicate that in the long run, fundamentals are significant determinants of emerging market sovereign bond spreads, while in the short run, financial volatility is a more important determinant of sperads than fundamentals indicators.

Statistical Reasoning with Imprecise Probabilities

Download Statistical Reasoning with Imprecise Probabilities PDF Online Free

Author :
Publisher : Chapman and Hall/CRC
ISBN 13 :
Total Pages : 728 pages
Book Rating : 4.:/5 (319 download)

DOWNLOAD NOW!


Book Synopsis Statistical Reasoning with Imprecise Probabilities by : Peter Walley

Download or read book Statistical Reasoning with Imprecise Probabilities written by Peter Walley and published by Chapman and Hall/CRC. This book was released on 1991 with total page 728 pages. Available in PDF, EPUB and Kindle. Book excerpt: An examination of topics involved in statistical reasoning with imprecise probabilities. The book discusses assessment and elicitation, extensions, envelopes and decisions, the importance of imprecision, conditional previsions and coherent statistical models.

Market Conditions, Default Risk and Credit Spreads

Download Market Conditions, Default Risk and Credit Spreads PDF Online Free

Author :
Publisher :
ISBN 13 : 9783865584076
Total Pages : 0 pages
Book Rating : 4.5/5 (84 download)

DOWNLOAD NOW!


Book Synopsis Market Conditions, Default Risk and Credit Spreads by : Dragon Yongjun Tang

Download or read book Market Conditions, Default Risk and Credit Spreads written by Dragon Yongjun Tang and published by . This book was released on 2008 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Estimating the systematic component of credit spreads

Download Estimating the systematic component of credit spreads PDF Online Free

Author :
Publisher : GRIN Verlag
ISBN 13 : 334670761X
Total Pages : 79 pages
Book Rating : 4.3/5 (467 download)

DOWNLOAD NOW!


Book Synopsis Estimating the systematic component of credit spreads by : Sebastian Wilde

Download or read book Estimating the systematic component of credit spreads written by Sebastian Wilde and published by GRIN Verlag. This book was released on 2022-08-31 with total page 79 pages. Available in PDF, EPUB and Kindle. Book excerpt: Master's Thesis from the year 2022 in the subject Economics - Finance, grade: 1,7, University of Hagen (Fakultät für Wirtschaftswissenschaft, Lehrstuhl für Bank- und Finanzwirtschaft), language: English, abstract: Corporate bond credit spreads are much larger than historical default rates, which leads to an unexplained gap between the default premium component and total credit spread. This gap is referred to as the "credit spread puzzle" in the literature and has driven the discussion of the components of credit spreads in the past decades. The size of each component affects the decision of whether to purchase a particular class of bonds; this underlines its importance in risk management, portfolio management, and valuation. The first goal of the thesis is to provide a comprehensive review of the current state of research on how to decompose credit spreads and estimate their parts. Second, in an empirical study, the systematic risk in current EUR-denominated credit spreads is estimated and compared to the results of Elton et al. (2001). Furthermore, I analyze the regime-dependence of credit spreads for different cross-sections, as systematic risk has proven important in crisis periods. Finally, implications for the calculation of debt beta are derived as in business valuations it is possible to use a debt beta if the debt of the valuation object is subject to a systematic risk that leads to a signifcant risk premium demanded by debt providers. I show that the systematic part of the credit spread for observed EUR-denominated bond spreads from 2009 to 2021 can be assumed higher than in the US bond market, is regime-dependent and would have direct implications on the calculation and relevance of a debt beta for business valuations.

Determinants of Credit Spreads of Financial Institutions

Download Determinants of Credit Spreads of Financial Institutions PDF Online Free

Author :
Publisher : GRIN Verlag
ISBN 13 : 3668069301
Total Pages : 98 pages
Book Rating : 4.6/5 (68 download)

DOWNLOAD NOW!


Book Synopsis Determinants of Credit Spreads of Financial Institutions by :

Download or read book Determinants of Credit Spreads of Financial Institutions written by and published by GRIN Verlag. This book was released on 2015-10-19 with total page 98 pages. Available in PDF, EPUB and Kindle. Book excerpt: Master's Thesis from the year 2013 in the subject Business economics - Banking, Stock Exchanges, Insurance, Accounting, grade: 1,0, Catholic University Eichstätt-Ingolstadt (Lehrstuhl für Finanzierung und Banken), language: English, abstract: In the recent years global credit institutions were characterized by instabilities, consolidations and high levels of distress, with the industry strongly depending on governmental support to avoid a full economical collapse initiated by the unexpected default of Lehman Brothers. As a consequence of the strong state interferences as well as the implicit and explicit governmental guarantees in the midyear of 2010 the Global Financial Crisis turned into a Sovereign Debt Crisis in the peripheral Eurozone, especially for the so-called PIIGS countries (Portugal, Ireland, Italy, Greece and Spain). Consequently, global banks show a high level of interdependencies with their sovereigns and have been the most discussed industry in global economical markets during the last years. In such periods it is particularly important to understand the drivers of the credit risks within the financial industry. Therefore, the main purpose of this study is to explore the determinants of the credit risk for the global banking universe and to investigate these determinants for robustness during high volatile and structurally changing market environments. ...

Dynamic Asset Pricing Theory

Download Dynamic Asset Pricing Theory PDF Online Free

Author :
Publisher : Princeton University Press
ISBN 13 : 1400829208
Total Pages : 488 pages
Book Rating : 4.4/5 (8 download)

DOWNLOAD NOW!


Book Synopsis Dynamic Asset Pricing Theory by : Darrell Duffie

Download or read book Dynamic Asset Pricing Theory written by Darrell Duffie and published by Princeton University Press. This book was released on 2010-01-27 with total page 488 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is a thoroughly updated edition of Dynamic Asset Pricing Theory, the standard text for doctoral students and researchers on the theory of asset pricing and portfolio selection in multiperiod settings under uncertainty. The asset pricing results are based on the three increasingly restrictive assumptions: absence of arbitrage, single-agent optimality, and equilibrium. These results are unified with two key concepts, state prices and martingales. Technicalities are given relatively little emphasis, so as to draw connections between these concepts and to make plain the similarities between discrete and continuous-time models. Readers will be particularly intrigued by this latest edition's most significant new feature: a chapter on corporate securities that offers alternative approaches to the valuation of corporate debt. Also, while much of the continuous-time portion of the theory is based on Brownian motion, this third edition introduces jumps--for example, those associated with Poisson arrivals--in order to accommodate surprise events such as bond defaults. Applications include term-structure models, derivative valuation, and hedging methods. Numerical methods covered include Monte Carlo simulation and finite-difference solutions for partial differential equations. Each chapter provides extensive problem exercises and notes to the literature. A system of appendixes reviews the necessary mathematical concepts. And references have been updated throughout. With this new edition, Dynamic Asset Pricing Theory remains at the head of the field.

Contract Risk and Credit Spread Determinant in the International Project Bond Market

Download Contract Risk and Credit Spread Determinant in the International Project Bond Market PDF Online Free

Author :
Publisher : World Bank Publications
ISBN 13 :
Total Pages : 58 pages
Book Rating : 4./5 ( download)

DOWNLOAD NOW!


Book Synopsis Contract Risk and Credit Spread Determinant in the International Project Bond Market by : Mansoor Dailami

Download or read book Contract Risk and Credit Spread Determinant in the International Project Bond Market written by Mansoor Dailami and published by World Bank Publications. This book was released on 2001 with total page 58 pages. Available in PDF, EPUB and Kindle. Book excerpt: In infrastructure projects bondholders and shareholders share residual risks over time despite debt covenants meant to mitigate risk shifting. For projects accessing international bond markets to benefit from longer maturities and lower borrowing costs, it is therfore necessary to pay attention to such design features as capital structure, guarantees, off-take agreement, and project economics.

The Evolution and Determinants of Emerging Market Credit Spreads in the 1990s

Download The Evolution and Determinants of Emerging Market Credit Spreads in the 1990s PDF Online Free

Author :
Publisher :
ISBN 13 :
Total Pages : 58 pages
Book Rating : 4.:/5 (318 download)

DOWNLOAD NOW!


Book Synopsis The Evolution and Determinants of Emerging Market Credit Spreads in the 1990s by : Steven Kamin

Download or read book The Evolution and Determinants of Emerging Market Credit Spreads in the 1990s written by Steven Kamin and published by . This book was released on 1999 with total page 58 pages. Available in PDF, EPUB and Kindle. Book excerpt: Develops measures of emerging market credit spreads for the 1990s, based on data on new bond issues and bank loans, that cover a broader range of borrowers than the Brady bond spreads most commonly used to date.

Credit Risk

Download Credit Risk PDF Online Free

Author :
Publisher : Princeton University Press
ISBN 13 : 1400829178
Total Pages : 416 pages
Book Rating : 4.4/5 (8 download)

DOWNLOAD NOW!


Book Synopsis Credit Risk by : Darrell Duffie

Download or read book Credit Risk written by Darrell Duffie and published by Princeton University Press. This book was released on 2012-01-12 with total page 416 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this book, two of America's leading economists provide the first integrated treatment of the conceptual, practical, and empirical foundations for credit risk pricing and risk measurement. Masterfully applying theory to practice, Darrell Duffie and Kenneth Singleton model credit risk for the purpose of measuring portfolio risk and pricing defaultable bonds, credit derivatives, and other securities exposed to credit risk. The methodological rigor, scope, and sophistication of their state-of-the-art account is unparalleled, and its singularly in-depth treatment of pricing and credit derivatives further illuminates a problem that has drawn much attention in an era when financial institutions the world over are revising their credit management strategies. Duffie and Singleton offer critical assessments of alternative approaches to credit-risk modeling, while highlighting the strengths and weaknesses of current practice. Their approach blends in-depth discussions of the conceptual foundations of modeling with extensive analyses of the empirical properties of such credit-related time series as default probabilities, recoveries, ratings transitions, and yield spreads. Both the "structura" and "reduced-form" approaches to pricing defaultable securities are presented, and their comparative fits to historical data are assessed. The authors also provide a comprehensive treatment of the pricing of credit derivatives, including credit swaps, collateralized debt obligations, credit guarantees, lines of credit, and spread options. Not least, they describe certain enhancements to current pricing and management practices that, they argue, will better position financial institutions for future changes in the financial markets. Credit Risk is an indispensable resource for risk managers, traders or regulators dealing with financial products with a significant credit risk component, as well as for academic researchers and students.

The Evolution and Determinants of Emerging Market Credit Spreads in The 1990s

Download The Evolution and Determinants of Emerging Market Credit Spreads in The 1990s PDF Online Free

Author :
Publisher : CreateSpace
ISBN 13 : 9781503305120
Total Pages : 46 pages
Book Rating : 4.3/5 (51 download)

DOWNLOAD NOW!


Book Synopsis The Evolution and Determinants of Emerging Market Credit Spreads in The 1990s by : Board of Board of Governors of the Federal Reserve System

Download or read book The Evolution and Determinants of Emerging Market Credit Spreads in The 1990s written by Board of Board of Governors of the Federal Reserve System and published by CreateSpace. This book was released on 2014-11-20 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study develops measures of emerging market credit spreads for the 1990s, based on data on new bond issues and bank loans, that cover a broader range of borrowers than the Brady bond spreads most commonly used to date. These measures are used to identify the impacts of credit ratings, maturity and currency denomination on spreads. We find important regional differences in spreads across the developing world, even after controlling for risk and maturity. We also identify the evolution of spreads during the 1990s up until the advent of the Asian financial crisis, holding other determinants constant, and find that emerging market spreads declined by more than can be explained by improvements in risk. However, for emerging market instruments with relatively favourable credit ratings, trends in spreads differed considerably from those experienced by Brady bonds. Finally, and in contrast to much market commentary, we find that variations in industrial country short-term interest rates explain relatively little of the decline in emerging market bond spreads. Longer-term trends, perhaps reflecting globalisation, along with the temporary impact of the Mexican financial crisis, may have been more important factors in the behaviour of emerging market spreads.

Determinants of Credit Growth and Interest Margins in the Philippines and Asia

Download Determinants of Credit Growth and Interest Margins in the Philippines and Asia PDF Online Free

Author :
Publisher : International Monetary Fund
ISBN 13 : 1475545762
Total Pages : 59 pages
Book Rating : 4.4/5 (755 download)

DOWNLOAD NOW!


Book Synopsis Determinants of Credit Growth and Interest Margins in the Philippines and Asia by : Ms.Tatum Blaise Pua Tan

Download or read book Determinants of Credit Growth and Interest Margins in the Philippines and Asia written by Ms.Tatum Blaise Pua Tan and published by International Monetary Fund. This book was released on 2012-05-01 with total page 59 pages. Available in PDF, EPUB and Kindle. Book excerpt: Despite robust deposit growth, credit growth has been sluggish in the Philippines. We attribute this to legacy weaknesses in bank balance sheets, consumption-led economic growth, and relatively high net interest margins. Bank-level analysis suggests that interest margins in the Philippines rise with bank size, bank capitalization, foreign ownership, overhead costs and tax rates. Using bank-level data for a number of Asian economies, we find that higher growth, lower inflation, higher reserve requirements, greater banking sector development, smaller stock market development and lower government deficits reduce net interest margins, informing the policy debate on strengthening financial intermediation in the Philippines.

What Determines U.S. Swap Spreads?

Download What Determines U.S. Swap Spreads? PDF Online Free

Author :
Publisher : World Bank Publications
ISBN 13 :
Total Pages : 64 pages
Book Rating : 4.F/5 ( download)

DOWNLOAD NOW!


Book Synopsis What Determines U.S. Swap Spreads? by : Ádám Kóbor

Download or read book What Determines U.S. Swap Spreads? written by Ádám Kóbor and published by World Bank Publications. This book was released on 2005 with total page 64 pages. Available in PDF, EPUB and Kindle. Book excerpt: References p. 45-47.

Handbook Of Financial Econometrics, Mathematics, Statistics, And Machine Learning (In 4 Volumes)

Download Handbook Of Financial Econometrics, Mathematics, Statistics, And Machine Learning (In 4 Volumes) PDF Online Free

Author :
Publisher : World Scientific
ISBN 13 : 9811202400
Total Pages : 5053 pages
Book Rating : 4.8/5 (112 download)

DOWNLOAD NOW!


Book Synopsis Handbook Of Financial Econometrics, Mathematics, Statistics, And Machine Learning (In 4 Volumes) by : Cheng Few Lee

Download or read book Handbook Of Financial Econometrics, Mathematics, Statistics, And Machine Learning (In 4 Volumes) written by Cheng Few Lee and published by World Scientific. This book was released on 2020-07-30 with total page 5053 pages. Available in PDF, EPUB and Kindle. Book excerpt: This four-volume handbook covers important concepts and tools used in the fields of financial econometrics, mathematics, statistics, and machine learning. Econometric methods have been applied in asset pricing, corporate finance, international finance, options and futures, risk management, and in stress testing for financial institutions. This handbook discusses a variety of econometric methods, including single equation multiple regression, simultaneous equation regression, and panel data analysis, among others. It also covers statistical distributions, such as the binomial and log normal distributions, in light of their applications to portfolio theory and asset management in addition to their use in research regarding options and futures contracts.In both theory and methodology, we need to rely upon mathematics, which includes linear algebra, geometry, differential equations, Stochastic differential equation (Ito calculus), optimization, constrained optimization, and others. These forms of mathematics have been used to derive capital market line, security market line (capital asset pricing model), option pricing model, portfolio analysis, and others.In recent times, an increased importance has been given to computer technology in financial research. Different computer languages and programming techniques are important tools for empirical research in finance. Hence, simulation, machine learning, big data, and financial payments are explored in this handbook.Led by Distinguished Professor Cheng Few Lee from Rutgers University, this multi-volume work integrates theoretical, methodological, and practical issues based on his years of academic and industry experience.

Investigating the Determinants of Corporate Bond Credit Spreads in the Euro Area

Download Investigating the Determinants of Corporate Bond Credit Spreads in the Euro Area PDF Online Free

Author :
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (14 download)

DOWNLOAD NOW!


Book Synopsis Investigating the Determinants of Corporate Bond Credit Spreads in the Euro Area by : Simone LETTA

Download or read book Investigating the Determinants of Corporate Bond Credit Spreads in the Euro Area written by Simone LETTA and published by . This book was released on 2023 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: