The Determinants of Credit Spread Changes on the Swiss Bond Market PDF Download
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Author: Julien Yerly
Publisher:
ISBN:
Category :
Languages : en
Pages : 88
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Book Description
Author: Julien Yerly
Publisher:
ISBN:
Category :
Languages : en
Pages : 88
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Book Description
Author: Arne Wilkes
Publisher: Peter Lang Gmbh, Internationaler Verlag Der Wissenschaften
ISBN: 9783631606049
Category : Bond market
Languages : en
Pages : 0
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Book Description
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.
Author: Bernard Killelea
Publisher:
ISBN:
Category : Bond market
Languages : en
Pages : 0
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Author: Mansoor Dailami
Publisher:
ISBN:
Category :
Languages : en
Pages : 54
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Author: Marie-Therese McDonald
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Author: Viorel Roscovan
Publisher:
ISBN:
Category :
Languages : en
Pages : 56
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Recent research on default risk has shown that most of the variation in credit spreads is driven by a common yet unidentifiable factor. I find that bond turnover explains up to 11% of this variation. Using the implications of an intertemporal capital asset pricing model, I construct a bond hedging portfolio from TRACE transactions data and relate its return to changes in credit spreads. In theory, this portfolio captures the dynamic risk of the economy and, hence, hedges the risk of changes in market conditions. My findings are as follows. First, credit spreads relate asymmetrically to the return on the bond hedging portfolio. When market conditions are risky, the return on the bond hedging portfolio is positive and credit spreads increase significantly. During unchanged or less risky market conditions, the return on the bond hedging portfolio is small or negative, and credit spreads are less sensitive. Second, on average, credit spreads do not relate to a similar hedging portfolio constructed from equity volume data. The return on the stock hedging portfolio, however, captures some variation in credit spreads for riskier bond classes. Third, in contrast to the results for equity markets, where stock returns and volume are weakly related, this paper finds a strong link between volume and credit spreads in corporate bond markets.
Author: Wassim Dbouk
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Author: Snorre Lindset
Publisher:
ISBN:
Category :
Languages : en
Pages : 30
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In this paper we analyze the credit spread on bonds rated Baa that exceeds the credit spread on bonds rated AAA (excess spread) in the US corporate bond market over the time period 1919-2006. We find several factors to be important determinants for the excess spread. The volatility in the stock market is found to be an important factor. For subsets of the sample period also inflation seems to be an important determinant. Yields on government bonds are both statistically and economically significant, but have the opposite sign of what is theoretically predicted.
Author: Frank J. Fabozzi
Publisher: Irwin Professional Publishing
ISBN:
Category : Business & Economics
Languages : en
Pages : 344
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Book Description
Historically, senior bank loans have been originated by commercial banks and syndicated to other banks and financial institutions. As the senior bank loan market has grown and liquidity in the high-yield bond market has declined, institutional investors have become increasingly active players in the senior bank loan market. There are two key factors that make senior loans especially attractive to the institutional investor: Yield Enhancement; Strong Credit Protection. The Trading and Securitization of Senior Bank Loans was compiled so that today's institutional investor may capitalize on these and other opportunities currently available in the market for senior bank loans and anticipate the future direction of this growing market. To accommodate the breadth of knowledge required in the senior bank loan market, editors John H. Carlson and Frank J. Fabozzi have compiled the work of a wide range of experts, including many practitioners who have been actively involved in the evolution of this market. Topics covered by this distinguished panel include the Bank Loan Syndication Process Brokerage of Loans; Legal Concerns Relating to the Sale of Loans, Credit Analysis of Senior Bank Loans, the Valuation of HLT Bank Loans, the Securitization of Senior Bank Loans, Valuing Distressed Bank Loans, Opportunities in Debtor-in-Possession Lending.
Author: Kjell G. Nyborg
Publisher: Cambridge University Press
ISBN: 1107155843
Category : Business & Economics
Languages : en
Pages : 345
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Book Description
The first book-length study of the importance of collateral frameworks in monetary policy, focusing on the Eurozone and euro crisis.
