Eine empirische Analyse der Spreadunterschiede von Festsatzanleihen zu Floatern im Euroraum und deren Zusammenhang zum Preis eines Credit Default Swaps

Arbeitspapier

The paper analyses the factors influencing the credit spread of € denominated bonds and credit default swaps. The regression shows a significant difference of the credit spread of corporate floaters compared to straight bonds. The steepnes of the yield curve leads surprisingly to lower credit spreads. This is also true for a higher risk free rate. The liquidity effect matters for straight bonds but is unimportant for floaters. The rating has a significant influence, but can only partially explain the spread. It can be shown that the same factors influence the spread of a credit default swap. As predicted by theory the floater spread has an almost linear relationship to the CDS Spread, but it can only explain 50% of its movement, because transaction prices and different liquidity play a substantial role in pricing these products.

Object Details

• Language: Deutsch

References and Relationships

• Bibliographic citation: Series: Arbeitsberichte der Hochschule für Bankwirtschaft ; No. 39

Classification and Topics

• Classification: Wirtschaft
• Subject: Credit Spread ; Risikoaufschlag von Anleihen ; Fix-Float Spread ; Bewertung von CDS ; Pricing of Credit Default Swaps

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Heidorn, Thomas ; Kantwill, Jens
• Event: Veröffentlichung
• (who): Hochschule für Bankwirtschaft (HfB)
• (where): Frankfurt a. M.
• (when): 2002

Further information

• Handle: http://hdl.handle.net/10419/27894
• URN: urn:nbn:de:101:1-2008071837
• Last update: 10.03.2025, 11:43 AM CET