Arbeitspapier
Komponenten und Determinanten des Credit Spreads: Empirische Untersuchung während Phasen von Marktstress
The credit crisis and the following sovereign debt crisis during 2007 and 2012 led to an increasing volatility of European corporate bond credit spreads. European investment grade credit spreads rose in 2007 and 2008 from 50 BP to over 350 BP. In the years after the credit spreads declined to 100 BP caused by global central bank interventions. Since 2010 the sovereign debt crisis in the eurozone intensified and credit spreads simultaneously widened to 200 BP. This paper defines the components of the credit spread by analysing different risk factors of corporate bonds such as credit risk, market risk and residual spread risk. To specify the proper credit spread level, various mesurement methods like the yield to maturity, zero rate, z-spread and credit default swaps are compared. To better understand the changes of credit spreads over time this paper further discusses the determining drivers of the credit spread. Backed by a theoretical framework the relevant drivers of the credit spread changes are the term structure of interest rates, the economic cycle, the enterprise value and the market liquidity. The credit spread drivers are empirically tested in a regression analysis using European investment grade corporate bond data during 2007 and 2012.
- Sprache
-
Deutsch
- Erschienen in
-
Series: Frankfurt School - Working Paper Series ; No. 204
- Klassifikation
-
Wirtschaft
Financial Crises
Portfolio Choice; Investment Decisions
Asset Pricing; Trading Volume; Bond Interest Rates
Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
Statistical Simulation Methods: General
- Thema
-
Credit Spread
Present value
Credit Spread components
Default risk
Credit Spread risk
Liquidity risk
Risk free rate
Yield-to-maturity
Zero rate
Z-Spread
Structured Model
Reduced Form Model
Credit Spread drivers
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Odermann, Alexander
Cremers, Heinz
- Ereignis
-
Veröffentlichung
- (wer)
-
Frankfurt School of Finance & Management
- (wo)
-
Frankfurt a. M.
- (wann)
-
2013
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Odermann, Alexander
- Cremers, Heinz
- Frankfurt School of Finance & Management
Entstanden
- 2013