EAN: 9783658202187

BESTMASTERS IMPACT OF GOVERNMENT BONDS SPREAD...

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. In the first step 
these spreads are computed with the help of the Hull-White model to demonstrate the theoretical
calculation. 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.
However  there is high variation between the analysed countries so that a country-specific
evaluation instead of a general review is recommended by the author.

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