Essays on Risk Premiums Derived from Credit Default Swap Spreads PDF Download
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Author: Thomas Jopp
Publisher: Springer Nature
ISBN: 365846173X
Category : Electronic books
Languages : en
Pages : 225
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Book Description
Author: Thomas Jopp
Publisher: Springer Nature
ISBN: 365846173X
Category : Electronic books
Languages : en
Pages : 225
Get Book Here
Book Description
Author: THOMAS. JOPP
Publisher: Springer Gabler
ISBN: 9783658461720
Category : Business & Economics
Languages : en
Pages : 0
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Book Description
The book provides comprehensive empirical analyses on two overarching research topics with a focus on Europe, covering the period from the global financial crisis to the end of 2021, with a special emphasis on the post-European sovereign debt crisis era. The first research focus addresses the direction of the relationship between the risk premium and the risk-free interest rate. Although this issue is not entirely new, it has gained particular relevance due to the historically low interest rates until the end of 2021. Risk premiums are derived from sovereign and corporate credit default swap (CDS) spreads. The empirical results suggest a positive relationship. The second research focus is dedicated to effects on the bond and derivatives markets following the ECB's monetary policy measures PSPP, CSPP and PEPP as well as the EU's fiscal policy measure NGEU. Immediate announcement effects can be observed through the PEPP and the NGEU, but also through the so-called Lagarde gaffe. Further investigations point to a search for yield behavior in Eurozone countries following the ECB's announcements of the PSPP and the CSPP. Additional analyses indicate a fiscally dominated ECB from 2015 to 2021. About the author Dr. Thomas Jopp studied Industrial Engineering and Business Management and earned his doctorate under the supervision of Prof. Dr. Daniela Lorenz at the Chair of Business Management and Corporate Finance at Julius-Maximilians-Universität Würzburg, Germany.
Author: Jiri Podpiera
Publisher: International Monetary Fund
ISBN: 1455200573
Category : Business & Economics
Languages : en
Pages : 34
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Book Description
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.
Author: Badi H. Baltagi
Publisher: Emerald Group Publishing
ISBN: 1781903077
Category : Business & Economics
Languages : en
Pages : 576
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Book Description
Aims to annually publish original scholarly econometrics papers on designated topics with the intention of expanding the use of developed and emerging econometric techniques by disseminating ideas on the theory and practice of econometrics throughout the empirical economic, business and social science literature.
Author: Eric Neis
Publisher:
ISBN:
Category : Municipal bonds
Languages : en
Pages : 618
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Book Description
Author: Philip Ernstberger
Publisher: Springer
ISBN: 3658132310
Category : Business & Economics
Languages : en
Pages : 142
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Book Description
Philip Ernstberger analyses in his three essays different topics of financial pathologies. Thereby, changes in fundamentals as well as information are considered as the driving force for the behavior of speculators and investors. The first essay deals with currency crises, in which the central bank, through setting the interest rate, steers the economy and defends against speculators. The second essay examines the effects of a rating and possible biases on the coordination of investors and the pricing of debt. In the third essay the author uses forecasts of default probabilities and implied market default probabilities to infer the weighing of information by investors.
Author: Don M. Chance
Publisher: John Wiley & Sons
ISBN: 1118160649
Category : Business & Economics
Languages : en
Pages : 403
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Book Description
In the updated second edition of Don Chance’s well-received Essays in Derivatives, the author once again keeps derivatives simple enough for the beginner, but offers enough in-depth information to satisfy even the most experienced investor. This book provides up-to-date and detailed coverage of various financial products related to derivatives and contains completely new chapters covering subjects that include why derivatives are used, forward and futures pricing, operational risk, and best practices.
Author: Allen N. Berger
Publisher:
ISBN: 0198824637
Category : Business & Economics
Languages : en
Pages : 1309
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Book Description
This third edition of the definitive guide to banking provides an overview and analysis of developments and research in the field written by leading academics, researchers, and practitioners.
Author:
Publisher:
ISBN:
Category : Dissertations, Academic
Languages : en
Pages : 546
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Book Description
Author: Laurence B. Siegel
Publisher: CFA Institute Research Foundation
ISBN: 1944960325
Category : Business & Economics
Languages : en
Pages : 69
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Book Description
Research into the equity risk premium, often considered the most important number in finance, falls into three broad groupings. First, researchers have measured the margin by which equity total returns have exceeded fixed-income or cash returns over long historical periods and have projected this measure of the equity risk premium into the future. Second, the dividend discount model—or a variant of it, such as an earnings discount model—is used to estimate the future return on an equity index, and the fixed-income or cash yield is then subtracted to arrive at an equity risk premium expectation or forecast. Third, academics have used macroeconomic techniques to estimate what premium investors might rationally require for taking the risk of equities. Current thinking emphasizes the second, or dividend discount, approach and projects an equity risk premium centered on 3½% to 4%.
