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Heidorn, Thomas
Kantwill, Jens
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Arbeitsberichte der Hochschule für Bankwirtschaft 39
The paper analyses the factors influencing the credit spread of € denominated bonds and credit default swaps. The regression shows a significant difference of the credit spread of corporate floaters compared to straight bonds. The steepnes of the yield curve leads surprisingly to lower credit spreads. This is also true for a higher risk free rate. The liquidity effect matters for straight bonds but is unimportant for floaters. The rating has a significant influence, but can only partially explain the spread. It can be shown that the same factors influence the spread of a credit default swap. As predicted by theory the floater spread has an almost linear relationship to the CDS Spread, but it can only explain 50% of its movement, because transaction prices and different liquidity play a substantial role in pricing these products.
Credit Spread
Risikoaufschlag von Anleihen
Fix-Float Spread
Bewertung von CDS
Pricing of Credit Default Swaps
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Working Paper
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