Determinants of Credit Spreads of Financial Institutions (eBook, PDF)

• Format: PDF

Produktbeschreibung

Master's Thesis from the year 2013 in the subject Business economics - Banking, Stock Exchanges, Insurance, Accounting, grade: 1,0, Catholic University Eichstätt-Ingolstadt (Lehrstuhl für Finanzierung und Banken), language: English, abstract: In the recent years global credit institutions were characterized by instabilities, consolidations and high levels of distress, with the industry strongly depending on governmental support to avoid a full economical collapse initiated by the unexpected default of Lehman Brothers. As a consequence of the strong state interferences as well as the implicit and explicit governmental guarantees in the midyear of 2010 the Global Financial Crisis turned into a Sovereign Debt Crisis in the peripheral Eurozone, especially for the so-called PIIGS countries (Portugal, Ireland, Italy, Greece and Spain). Consequently, global banks show a high level of interdependencies with their sovereigns and have been the most discussed industry in global economical markets during the last years. In such periods it is particularly important to understand the drivers of the credit risks within the financial industry. Therefore, the main purpose of this study is to explore the determinants of the credit risk for the global banking universe and to investigate these determinants for robustness during high volatile and structurally changing market environments. ...

Produktdetails

• Verlag: GRIN Verlag
• Seitenzahl: 104
• Erscheinungstermin: 19. Oktober 2015
• Englisch
• ISBN-13: 9783668069305
• Artikelnr.: 44929440

Inhaltsangabe

Contents Contents List of Figures List of Tables List of Abbreviations List of Symbols 1 Introduction 2 Theoretical Principles 2.1 Literature Review 2.1.1 Determinants of CDS Spreads 2.1.2 The CreditGradesTM Framework 2.2 Model Description 2.2.1 The Classical CreditGradesTM Model 2.2.2 Extensions to the CreditGradesTM Model 3 Descriptive Analysis 3.1 Data 3.2 Calibration 3.3 Descriptive Statistics 4 Empirical Analysis 4.1 The Extended CreditGradesTM Model 4.2 Case Study Analysis 4.3 Cointegration across Equity and CDS Markets 4.3.1 Credit Spreads Long-Run Pricing Equilibrium 4.3.2 Price Discovery across Equity and CDS Markets 4.3.3 Cointegration in the Peripheral Eurozone 4.4 Analysis of the Credit Spread Deviations 5 Conclusion and Outlook A Appendix - Definitions B Appendix - Summary Statistics Bibliography