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1. Analyse von Credit Spreads in Abhängigkeit des risikofreien Referenzzinssatzes

   Author: Pape, Ulrich; Schlecker, Matthias

   Published: 2022

   Publisher:  ESCP Europe Wirtschaftshochschule Berlin, Berlin

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   Source:	Union catalogues
   Language:	German
   Media type:	E-Journal
   Format:	Online
   ISSN:	1869-5426
   Other identifier:	urn: urn:nbn:de:101:1-2022060315200665541820
   RVK Categories:	QB 910 ; QK 620 ; QB 910 ; QK 620
   Series:	ESCP Europe Working Paper ; 54
   Subjects:	Spread; Staatsanleihe; Industrieobligation; Ausfallrisiko; Risikoprämie; Industrieobligation; Zins; Risikoprämie; Kreditrisiko; Bundesanleihe; Konsol; Staatsanleihe; Zwangsanleihe; Swap
   Other subjects:	(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
   Scope:	Online-Ressource

2. The dynamics of rating based credit benchmark curves

   Author: Heidorn, Thomas; Schlamann, Sara

   Published: April 2022

   Publisher:  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... more

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   Kiel: ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel

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   ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel

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   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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   Source:	Union catalogues
   Language:	English
   Media type:	Book
   Format:	Online
   Other identifier:	hdl: 10419/260536
   Series:	Frankfurt School - working paper series ; no. 231
   Subjects:	Credit Spread Curves; Benchmark Curves; Asset Swap Spread; Credit Rating and Credit Spread; Credit Spread Development; Rating Benchmark Curves; Credit Spread
   Scope:	1 Online-Ressource (circa 43 Seiten), Illustrationen