Impact of Government Bonds Spreads on Credit Derivatives Analysis of Increasing Spreads Developments within the European Area /
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...
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| Format: | Elektronisch E-Book |
| Sprache: | Englisch |
| Veröffentlicht: |
Wiesbaden :
Springer Fachmedien Wiesbaden : Gabler,
2018.
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| Ausgabe: | 1st ed. 2018. |
| Schriftenreihe: | BestMasters,
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| Schlagworte: | |
| ISBN: | 9783658202194 |
| ISSN: | 2625-3577 |
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Inhaltsangabe:
- Theoretical underpinnings
- Modelling credit default swap prices
- Simulation of government bond spread increase.