Determinants of Credit Spread Changes During the Financial Crisis PDF Download
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Author: Fabio Notarangelo
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Diese Arbeit untersucht das Verhalten von Credit Spread Bewegungen während der Finanzkrise mit Hilfe monatlicher Credit Default Swap Daten von Juli 2004 und Juni 2010. Ziel ist es zu analysieren, wie sich Determinanten von Credit Spreads entwickelt haben während der finanziellen Notlage ab Mitte 2007. Mittels linearer Regressionen werden auf Robert Mertons (1974) Strukturmodell basierende Determinanten von Credit Spread in den Zeiträumen vor und während der Krise analysiert. Diese Treiber umfassen zinsdynamische, makroökonomische und unternehmensspezifische Variablen sowie Konjunkturindikatoren. Der Vergleich der beiden Time Sets zeigt ein bedeutender Anstieg der Erklärungskraft der Variablen im Zeitraum der Finanzkrise. Es wird gezeigt, dass in Zeiten einer stabilen Wirtschaft Spreadänderungen vermehrt von makroökonomischen Faktoren beeinflusst werden, während unternehmensspezifische Faktoren in Zeiten der Krise den grössten Einfluss üben. Obwohl die vorliegende Arbeit eine Vielzahl von Untersuchungen zu Credit Spread Determinanten bestätigt, sind die Variablen nur teilweise verantwortlich für Bewegungen der Spreads.
Author: Fabio Notarangelo
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
Diese Arbeit untersucht das Verhalten von Credit Spread Bewegungen während der Finanzkrise mit Hilfe monatlicher Credit Default Swap Daten von Juli 2004 und Juni 2010. Ziel ist es zu analysieren, wie sich Determinanten von Credit Spreads entwickelt haben während der finanziellen Notlage ab Mitte 2007. Mittels linearer Regressionen werden auf Robert Mertons (1974) Strukturmodell basierende Determinanten von Credit Spread in den Zeiträumen vor und während der Krise analysiert. Diese Treiber umfassen zinsdynamische, makroökonomische und unternehmensspezifische Variablen sowie Konjunkturindikatoren. Der Vergleich der beiden Time Sets zeigt ein bedeutender Anstieg der Erklärungskraft der Variablen im Zeitraum der Finanzkrise. Es wird gezeigt, dass in Zeiten einer stabilen Wirtschaft Spreadänderungen vermehrt von makroökonomischen Faktoren beeinflusst werden, während unternehmensspezifische Faktoren in Zeiten der Krise den grössten Einfluss üben. Obwohl die vorliegende Arbeit eine Vielzahl von Untersuchungen zu Credit Spread Determinanten bestätigt, sind die Variablen nur teilweise verantwortlich für Bewegungen der Spreads.
Author: Pierre Collin Dufresne
Publisher:
ISBN:
Category :
Languages : en
Pages : 31
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Author: Riccardo Magno
Publisher:
ISBN:
Category :
Languages : en
Pages :
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I investigate the evolution of spread determinants on structured finance issues over a twelve years period, before and during the financial crisis, with a specific focus on the impact of the securitization markets collapse on the role of Credit Rating as a determinant of asset-backed securities launch spread. Through an empirical study on a sample of securitization issues, I find that Credit Rating influence on spread has been subject to changes on specific aspects since the beginning of the financial crisis. I find evidences that on average, during the financial crisis, higher Credit Ratings have a less intense impact in lowering asset-backed securities' launch spread than in pre-crisis times, while negative ratings' worsening effect on spread is somehow amplified. Furthermore, I find a few evidences that during the financial crisis investors may also rely on other public information about liquidity and market characteristics and as well about systematic risk aspects in assessing a given issue. Such information is usually included in Credit Rating to assess structured finance issues, but has revealed to be less significant in pre-crisis time. Thus the influence of Credit Rating on spread, and as well that of other relevant spread determinants, may be subject to changes in structure and dimension as a result of the financial crisis. I also theoretically discuss and suggest the likely possibility that such results are linked to changes in markets and investors' expectations about Credit Rating and Rating Agencies' reliability and trustworthiness.
Author: Sebastian Wilde
Publisher: GRIN Verlag
ISBN: 334670761X
Category : Business & Economics
Languages : en
Pages : 79
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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.
Author: Pierre Collin-Dufresne
Publisher:
ISBN:
Category :
Languages : en
Pages : 33
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Using straight industrial bonds with quoted prices, we investigate the determinants of credit spread changes. We find the variables that should in theory determine credit spread changes in fact have limited explanatory power. Further, the residuals from this first-pass regression are highly cross-correlated, and principal components analysis strongly suggests they are driven by a single common factor. We investigate several macro-economic and financial variables as candidate proxies for this factor. We cannot, however, find any set of variables which explain this common systematic factor. Our results suggest the corporate bond market is a segmented market driven by corporate bond specific supply/demand shocks.
Author: Steven Kamin
Publisher:
ISBN:
Category : Bond market
Languages : en
Pages : 58
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Book Description
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.
Author: Darrell Duffie
Publisher: Princeton University Press
ISBN: 1400829208
Category : Business & Economics
Languages : en
Pages : 488
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Book Description
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.
Author: Anthony Saunders
Publisher: John Wiley & Sons
ISBN: 0470622369
Category : Business & Economics
Languages : en
Pages : 373
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Book Description
A classic book on credit risk management is updated to reflect the current economic crisis Credit Risk Management In and Out of the Financial Crisis dissects the 2007-2008 credit crisis and provides solutions for professionals looking to better manage risk through modeling and new technology. This book is a complete update to Credit Risk Measurement: New Approaches to Value at Risk and Other Paradigms, reflecting events stemming from the recent credit crisis. Authors Anthony Saunders and Linda Allen address everything from the implications of new regulations to how the new rules will change everyday activity in the finance industry. They also provide techniques for modeling-credit scoring, structural, and reduced form models-while offering sound advice for stress testing credit risk models and when to accept or reject loans. Breaks down the latest credit risk measurement and modeling techniques and simplifies many of the technical and analytical details surrounding them Concentrates on the underlying economics to objectively evaluate new models Includes new chapters on how to prevent another crisis from occurring Understanding credit risk measurement is now more important than ever. Credit Risk Management In and Out of the Financial Crisis will solidify your knowledge of this dynamic discipline.
Author: Mr.Stijn Claessens
Publisher: International Monetary Fund
ISBN: 1475561008
Category : Business & Economics
Languages : en
Pages : 66
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Book Description
This paper reviews the literature on financial crises focusing on three specific aspects. First, what are the main factors explaining financial crises? Since many theories on the sources of financial crises highlight the importance of sharp fluctuations in asset and credit markets, the paper briefly reviews theoretical and empirical studies on developments in these markets around financial crises. Second, what are the major types of financial crises? The paper focuses on the main theoretical and empirical explanations of four types of financial crises—currency crises, sudden stops, debt crises, and banking crises—and presents a survey of the literature that attempts to identify these episodes. Third, what are the real and financial sector implications of crises? The paper briefly reviews the short- and medium-run implications of crises for the real economy and financial sector. It concludes with a summary of the main lessons from the literature and future research directions.
Author: Iva Petrova
Publisher: International Monetary Fund
ISBN: 1455252859
Category : Business & Economics
Languages : en
Pages : 28
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Book Description
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.
