Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
Results
Showing 1 to 20 of 20 for “"Credit spreads"”.
-
Determinants of U.S. corporate credit spreads.
… issues regarding determinants of US corporate credit spreads. These spreads are estimated as the difference between yields to maturity for corporate bonds and default-free instruments (Treasury bonds) of the same maturity. Corporate credit spreads are considered as measures of default risk. …
-
Modelling the Dynamics of Credit Spreads of European Corporate Bond Indices
Credit spreads are important financial tools, since they are used as indicators of economic progression, investment decisions, trading and hedging, as well as pricing credit derivatives. Their role has become more significant for the European fixed income markets since the introduction of the Euro, …
-
Modelling credit spreads in an illiquid South African corporate debt market
… out-of-date market prices and stale, unreliable credit spreads. Since the coverage of the South African debt market by credit ratings agencies is poor, meaningful credit spreads become even more important in gauging credit worth. The illiquidity of corporate vanilla bonds traded on the …
-
Determinants of credit spreads on U.S. dollar-denominated Asian corporate bonds
This study investigates determinants of credit spreads on U.S. dollar-denominated Asian corporate bonds. Using a country-level unbalanced panel dataset of Asian corporate bond indices, I find that global factors including U.S. corporate bond spreads and the U.S. long-term Treasury yield are main …
-
Credit risk measurement and modelling
… key economic and company specific components of credit spreads in the investment and non-investment grade US bond market for different maturing bond indices. It calls for the full integration of different market andfirm specific variables into a unique framework, in order to predict credit spread …
-
Role of institutions in fiscal performance
… outcomes: the level of hidden liabilities, credit spreads, and official government debt. We construct a country panel dataset and use quantile regression and error correction models for empirical analysis: quantile regression to verify how variables play different roles in explaining the …
-
CLIMATE RISK AND CMBS LOAN PRICING
… levels of risk are associated with increased credit spreads and decreased loan-to-value ratios. Among climate risk indicators, only Trepp’s high property damage indicators show significant effects on loan credit spread. The findings also suggest potential manipulation of climate risk scores. …
-
Essays on debt markets
… and their implications for the term structure of credit spreads. In chapter 3, joint with Juan Passadore, we study debt policy of emerging economies accounting for credit and liquidity risk.
-
Modelling, forecasting and riding credit risk in the Sterling Eurobond market
… to make a contribution to the understanding of credit risk dynamics in the Sterling Eurobond market. The background to the thesis is the increasing size, complexity and volatility of all debt markets, where the tasks of measuring, understanding and forecasting credit risk are of central …
-
Leverage Adjustment and Credit Risk
… adjustment and effect of speed of adjustment on credit risk.</p> <p><strong>Ⅰ:</strong> We standardize leverage ratio by underlying business risk. The methodology of standardization follows the assumption that asset value follows a geometric Brownian motion. We find that by standardizing book …
-
Utility Indifference Pricing of Credit Instruments
While the market for credit instruments grew continuously in the decade before 2008, its liquidity has dried up significantly in the current crisis, and investors have become aware of the possible consequences of being exposed to credit risk. In this thesis we address these issues by pricing credit …
-
Essays on Macroeconomics and Labor Markets
… a borrower-lender model with equilibrium credit spreads and monopolistic competition. The model demonstrates that a broad class of deficit-financed government expenditures can be expressed in terms of purchases and transfers. With flexible prices and in the absence of wealth effects on …
-
What drives private equity performance in emerging markets? An African perspective
… investments held when the economy is performing, credit spreads are low, and aggregate industry commitments are increasing. This suggests that GPs on the continent time their exits to take advantage of favourable market conditions. The fourth study uses quantile regression to investigate the …
-
Three Essays on Extremes and Non-Linearities in Asset Pricing
… dependence structure. The second essay "Credit Cycle Dependent Spread Determinants in Emerging Sovereign Debt Markets", empirically estimates non-linear dependence structures of determinants of changes in sovereign bond spreads. Empirical results of the paper clearly identify a non-linear …
-
Three Essays on The Cost of Debt Capital
… affects the cost of public bond debt and how credit rating adjustments influence the cost of debt and leverage of industry rivals. </p> <p>Chapter 1 explores how competitive threats affect the yield spread of corporate bonds. I find that firms that face high levels of competition also face …
-
Essays on Human Capital and Financial Markets
… has a significantly positive effect on the credit spreads of public corporate bonds (our measure of the cost of debt) issued from 1990 – 2014 for large, U.S. industrial firms. Moreover, the analysis reveals that the effect of labor mobility is greater for firms that are located in states …
-
The effects of 2007-2008 crisis on the CDS and the interbank markets: Empirical investigations
… of the study is that the relation between credit spreads and their determinants is regime dependant and depends on the sector of economic activity. Before the crisis the underlying credit risk in the overall CDS market is sufficient to explain credit risk. During the crisis investors have a …
-
Credit risk modelling in Markovian HJM term structure class of models with stochastic volatility
… been attributed to stochastic volatility. A good credit risk model should incorporate the correlation between the short rate and credit spread or indirectly influence the market's perception of default risk which has an impact on credit spreads. The objective of this thesis is to model credit risk …
-
Essays in Monetary Economics and International Finance
… excess bond premium (EBP)--the component of its credit spread in excess of default risk. Strikingly, while monetary policy easings compress credit spreads more for firms with higher EBPs--i.e. for firms faced with tighter financial conditions--it is lower-EBP firms that invest more. We …
-
Essays on the financial sector and macroeconomic policy
… within a DSGE model with leveraged borrowers. Creditors (financial intermediaries) receive imperfect signals regarding the profitability of borrowers (entrepreneurs) and, based on these signals and their beliefs about other intermediaries' actions, choose between rolling over and foreclosing on …