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.
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Showing 1 to 20 of 22 for “"credit spread"”.
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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… out-of-date market prices and stale, unreliable credit spreads.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 …
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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 …
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Three essays on debt pricing
… chapter. Chapter 1: What Drives the Consumer Credit Spread? An Explanation Based on Rare Event Risk and Belief Dispersion. What drives consumers borrowing/lending and the credit spread over their debt? This paper offers a novel explanation based on rare event risk and belief dispersion in a …
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Functional Anova Models With Application to Corporate Bonds
… of the various factors that affect the mean credit spread curve around the rating change announcement day. We used mean credit spread curve plots to examine and interpret significant effects of interaction of factor levels.</p>
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Credit Default Risk and Market Risk Premium of Chinese Corporate Bonds
This thesis presents a comprehensive analysis of credit risk in China's corporate bond market. Utilising data on all Chinese corporate bonds issued by publicly traded companies before September 2020 and actual default cases, the research investigates credit risk from the perspectives of forecasting …
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Determinants of the cost of credit for project finance debt in Africa
… to unsecured loans, increasing the All-In credit-spread by 196.94 bps (P-value < 0.1%) if the loan parameter is moved from an unsecured to a secured loan. Political / regulatory risk, which had a 27.697 bps increase in the All-in Credit-spread (P-value < 2.3%). This can be attributed to …
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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 …
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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. …
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Essays on International Finance and Currency Economics
… I decompose the CIP deviation into three parts: credit spread differential between U.S. and non- U.S. economies, bank’s default premium, and the liquidity needs of global banks. Then I empirically examine whether the data accords with the model predictions, and find that the relative significance …
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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, …
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Time-inhomogeneous Lévy processes in interest rate and credit risk models
… thesis, we present interest rate models and a credit risk model, all driven <br>by time-inhomogeneous Lévy processes, i.e. stochastic processes whose increments <br>are independent but in general not stationary. <br> <br>In the interest rate part, we discuss a Heath-Jarrow-Morton forward rate …
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Financial Reporting Differences and Debt Contracting
… GAAP of the borrower is associated with a higher credit spread and higher fees. I also find that a larger difference between the GAAP of the lender and the GAAP of the borrower is associated with a more concentrated loan syndicate, suggesting a closer monitoring relationship between the borrower …
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The effect of corporate bonds spread variability on non-financial firms’ financing structure: further evidence from emerging markets
… and the price paid by firms is the so-called credit spread. The high credit spread on emerging economies asset classes has been subject to important debate over the last decades. Emerging economies business cycles are highly correlated with borrowing costs faced by firms in international …
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Risk measurement and management of insurance companies
… and cost of capital are connected with the credit rating assigned by credit agencies to insurance companies. The credit risk that insurance companies face is explained by the use of financial ratios that explicitly explain the particular credit rating. The credit rating is implicitly …
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Essays on the Monetary Policy Transmission Mechanism
… mechanism in four chapters. The first chapter, Credit Constraints in a New Keynesian Framework: A Simple Theoretical Analysis, studies how financial frictions alter equilibrium outcomes. I show that collateral borrowing constraints have general equilibrium effects that operate via four channels; …
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Essays on investment
… cyclicality the most are variables that proxy credit market conditions, namely the interest rates, term structure and credit spread. We find that forecasts based on our model have considerable economic significance for investors, particularly for trading strategies involving small-cap stocks. …
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2-Factor Models in Credit and Energy Markets
… of structural – form framework to predict the spreads and the prices in two different market regimes before and during the credit crisis. In Part B a 2 – factor model with local volatility for oil market is developed. For the first part three structural form models; Merton’s (1974), Leland – …
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A small open economy modelling: A Bayesian DSGE approach
… and (iii) financial shocks (i.e., shocks to the credit spread) are important for explaining investment and output fluctuations in both countries. Finally, this thesis provides implications for designing macroeconomic policies and building empirically viable open economy DSGE models to analyse the …
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A small open economy modelling: A Bayesian DSGE approach
… and (iii) financial shocks (i.e., shocks to the credit spread) are important for explaining investment and output fluctuations in both countries. Finally, this thesis provides implications for designing macroeconomic policies and building empirically viable open economy DSGE models to analyse the …
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Essays in Monetary and Macroprudential Policies
… the lending relationships - deep habits - in the credit markets. I analyze simple and augmented Taylor rules, and I find that the presence of deep habits in the credit markets matters for the equilibrium determinacy. The deep habits parameter, the credit spread, and the lending relationship …
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