The Resource Impact of Government Bonds Spreads on Credit Derivatives : Analysis of Increasing Spreads Developments within the European Area, by Verena Anna Berger, (electronic resource)

Impact of Government Bonds Spreads on Credit Derivatives : Analysis of Increasing Spreads Developments within the European Area, by Verena Anna Berger, (electronic resource)

Label
Impact of Government Bonds Spreads on Credit Derivatives : Analysis of Increasing Spreads Developments within the European Area
Title
Impact of Government Bonds Spreads on Credit Derivatives
Title remainder
Analysis of Increasing Spreads Developments within the European Area
Statement of responsibility
by Verena Anna Berger
Creator
Contributor
Author
Provider
Subject
Language
eng
Summary
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 and credit 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
Member of
http://library.link/vocab/creatorName
Berger, Verena Anna
Image bit depth
0
Literary form
non fiction
http://library.link/vocab/relatedWorkOrContributorName
SpringerLink
Series statement
BestMasters
http://library.link/vocab/subjectName
  • Finance
  • Investment banking
  • Securities
  • Finance
  • International Finance
  • Investments and Securities
Label
Impact of Government Bonds Spreads on Credit Derivatives : Analysis of Increasing Spreads Developments within the European Area, by Verena Anna Berger, (electronic resource)
Instantiates
Publication
Antecedent source
mixed
Carrier category
online resource
Carrier category code
cr
Carrier MARC source
rdacarrier
Color
not applicable
Content category
text
Content type code
txt
Content type MARC source
rdacontent
Contents
Theoretical underpinnings -- Modelling credit default swap prices -- Simulation of government bond spread increase
Dimensions
unknown
Extent
XVII, 85 p. 4 illus.
File format
multiple file formats
Form of item
electronic
Isbn
9783658202194
Level of compression
uncompressed
Media category
computer
Media MARC source
rdamedia
Media type code
c
Other control number
10.1007/978-3-658-20219-4
Other physical details
online resource.
Quality assurance targets
absent
Reformatting quality
access
Specific material designation
remote
System control number
(DE-He213)978-3-658-20219-4
Label
Impact of Government Bonds Spreads on Credit Derivatives : Analysis of Increasing Spreads Developments within the European Area, by Verena Anna Berger, (electronic resource)
Publication
Antecedent source
mixed
Carrier category
online resource
Carrier category code
cr
Carrier MARC source
rdacarrier
Color
not applicable
Content category
text
Content type code
txt
Content type MARC source
rdacontent
Contents
Theoretical underpinnings -- Modelling credit default swap prices -- Simulation of government bond spread increase
Dimensions
unknown
Extent
XVII, 85 p. 4 illus.
File format
multiple file formats
Form of item
electronic
Isbn
9783658202194
Level of compression
uncompressed
Media category
computer
Media MARC source
rdamedia
Media type code
c
Other control number
10.1007/978-3-658-20219-4
Other physical details
online resource.
Quality assurance targets
absent
Reformatting quality
access
Specific material designation
remote
System control number
(DE-He213)978-3-658-20219-4

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