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dc.contributor.authorKrones, Juliaen_US
dc.contributor.authorCremers, Heinzen_US
dc.publisher|aFrankfurt School of Finance & Management |cFrankfurt, M.en_US
dc.relation.ispartofseries|aWorking Paper series, Frankfurt School of Finance & Management |x195en_US
dc.subject.keywordCredit Spreadsen_US
dc.subject.keywordstatic credit spread componentsen_US
dc.subject.keyworddynamic credit spread componentsen_US
dc.subject.keywordactive credit portfolio managementen_US
dc.subject.keywordCredit Default Swaps (CDS)en_US
dc.subject.keywordiTraxx Index Swapsen_US
dc.subject.keywordCredit risk diversificationen_US
dc.titleEine Analyse des Credit Spreads und seiner Komponenten als Grundlage für Hedge Strategien mit Kreditderivatenen_US
dc.typeWorking Paperen_US
dc.description.abstracttransIn almost every financial market crisis we can observe widening credit spreads, especially in the last years during the subprime and sovereign debt crisis. But what exactly drives the credit spread? This paper will outline static components, i.e. default risk, liquidity, risk and the relative attractiveness of government bonds. Afterwards we will shed some light on the dynamic components that underlie the changes in static components. Dynamic components comprise the economic situation, a market component, interest rates, term structure, time to maturity and credit rating migration. In the second part, this paper aims to provide an insight on how the risk contained in the credit spread can be hedged appropriately. This includes the definition of an appropriate hedge and how diversification influences the riskiness of credit portfolios. For single-name credit and market component risk the applicability of CDS will be examined. However, iTraxx Index Swaps are considered to be the superior instrument regarding hedging systematic market component risk on single-name and portfolio level. Finally, an excursus will investigate ways to extract default probabilities from credit spreads.en_US

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