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Komponenten und Determinanten des Credit Spreads: Empirische Untersuchung während Phasen von Marktstress

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  • Odermann, Alexander
  • Cremers, Heinz

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  • Odermann, Alexander & Cremers, Heinz, 2013. "Komponenten und Determinanten des Credit Spreads: Empirische Untersuchung während Phasen von Marktstress," Frankfurt School - Working Paper Series 204, Frankfurt School of Finance and Management.
  • Handle: RePEc:zbw:fsfmwp:204
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    References listed on IDEAS

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    More about this item

    Keywords

    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;

    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

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