Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/27894 
Erscheinungsjahr: 
2002
Schriftenreihe/Nr.: 
Arbeitsberichte der Hochschule für Bankwirtschaft No. 39
Verlag: 
Hochschule für Bankwirtschaft (HfB), Frankfurt a. M.
Zusammenfassung: 
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.
Schlagwörter: 
Credit Spread
Risikoaufschlag von Anleihen
Fix-Float Spread
Bewertung von CDS
Pricing of Credit Default Swaps
Persistent Identifier der Erstveröffentlichung: 
Dokumentart: 
Working Paper

Datei(en):
Datei
Größe
105.57 kB





Publikationen in EconStor sind urheberrechtlich geschützt.