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  1. Analyse von Credit Spreads in Abhängigkeit des risikofreien Referenzzinssatzes
    Autor*in: Pape, Ulrich; Schlecker, Matthias
    Erschienen: 2010
    Verlag:  ESCP Europe Wirtschaftshochsch., Berlin

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    Quelle: Verbundkataloge
    Sprache: Deutsch
    Medientyp: Buch (Monographie)
    Format: Druck
    RVK Klassifikation: QB 910 ; QK 620 ; QB 910 ; QK 620
    Schriftenreihe: ESCP Europe working paper ; Nr. 54
    Schlagworte: Industrieobligation; Zins; Risikoprämie; Kreditrisiko; Bundesanleihe; Konsol; Staatsanleihe; Zwangsanleihe; Swap
    Weitere Schlagworte: (stw)Unternehmensanleihe; (stw)Zins; (stw)Risikoprämie; (stw)Kreditrisiko; (stw)Öffentliche Anleihe; (stw)Swap; Attraktivität von Staatsanleihen; Referenz; Risikofreier Zinssatz; Spread über Swap; Unternehmensanleihe; Credit Risk; Credit Spread; Swap Spread; Graue Literatur; Arbeitspapier
    Umfang: 38 Bl., graph. Darst., 30 cm
    Bemerkung(en):

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  2. The dynamics of rating based credit benchmark curves
    Autor*in: Heidorn, Thomas; Schlamann, Sara
    Erschienen: April 2022
    Verlag:  Frankfurt School of Finance & Management, Frankfurt am Main, Germany

    The paper models and analyses the dynamics of credit spread curves based on ratings over the period from 2004 to 2021. Using more than 1.5 million data points of individual bonds, instead of using index data, monthly asset swap spread (ASW) curves... mehr

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    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 114
    Fernleihe:
    keine Fernleihe

     

    The paper models and analyses the dynamics of credit spread curves based on ratings over the period from 2004 to 2021. Using more than 1.5 million data points of individual bonds, instead of using index data, monthly asset swap spread (ASW) curves are constructed for all rating levels. The paper focuses on the EUR credit market which has grown significantly in recent years. Also, the data is more contemporary compared to the literature. For a period of almost 20 years EUR corporate bonds (investment grade and high yield) are discussed. We find that investment grade ASW curves are typically upward sloping, however during time of crisis they turn hump shaped or inverse. Non-investment grade curves tend to be inverse. While most rating classes show substantial rating changes during crises, very low rated bonds seem to depend mainly on idiosyncratic risk. We find that the bond purchase programs by central banks considerably lowered credit spreads. Also, the credit spread for lower ratings are typically higher for the whole curve compared to a better rating. By comparing ratingbased credit spread curves with individual curves we find that they are suitable as a benchmark.

     
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    hdl: 10419/260536
    Schriftenreihe: Frankfurt School - working paper series ; no. 231
    Schlagworte: Credit Spread Curves; Benchmark Curves; Asset Swap Spread; Credit Rating and Credit Spread; Credit Spread Development; Rating Benchmark Curves; Credit Spread
    Umfang: 1 Online-Ressource (circa 43 Seiten), Illustrationen
  3. Analyse von Credit Spreads in Abhängigkeit des risikofreien Referenzzinssatzes
    Autor*in: Pape, Ulrich; Schlecker, Matthias
    Erschienen: 2022
    Verlag:  ESCP Europe Wirtschaftshochschule Berlin, Berlin

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