Komponenten und Determinanten des Credit Spreads: Empirische Untersuchung während Phasen von Marktstress
Abstract-- 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.
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Bibliographic InfoPaper provided by Frankfurt School of Finance and Management in its series Frankfurt School - Working Paper Series with number 204.
Date of creation: 2013
Date of revision:
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;
Find related papers by JEL classification:
- G01 - Financial Economics - - General - - - Financial Crises
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
This paper has been announced in the following NEP Reports:
- NEP-ALL-2013-11-16 (All new papers)
- NEP-GER-2013-11-16 (German Papers)
- NEP-RMG-2013-11-16 (Risk Management)
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