Impact of government bonds spreads on credit derivatives [electronic resource] : analysis of increasing spreads developments within the European area / Verena Berger.

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...

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Bibliographic Details

Online Access:	Full Text (via Springer)
Main Author:	Berger, Verena (Author)
Format:	Electronic eBook
Language:	English
Published:	Wiesbaden : Springer Gabler, ©2018.
Series:	BestMasters.
Subjects:	Government securities. Credit derivatives. Fixed-income securities.