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Impact of Government Bonds Spreads on Credit Derivatives Berger 1st ed. 2018 edition
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Impact of Government Bonds Spreads on Credit Derivatives
Berger
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. The main findings which are calculated by using the Fontana-Scheicher model show that a negative impact on credit default swap spreads is observed based on the analysed data.
85 pages, 5 Tables, color; 4 Illustrations, black and white; XVII, 85 p. 4 illus.
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