The paper analyses the factors influencing the credit spread of € denominated bonds and credit default swaps. The regression shows a significant difference of the credit spread of corporate floaters compared to straight bonds. The steepnes of the yield curve leads surprisingly to lower credit...

The paper analyses the factors influencing the credit spread of denominated bonds and credit default swaps. The regression shows a significant difference of the credit spread of corporate floaters compared to straight bonds. The steepnes of the yield curve leads surprisingly to lower credit...

The paper analyses the factors influencing the credit spread of € denominated bonds and credit default swaps. The regression shows a significant difference of the credit spread of corporate floaters compared to straight bonds. The steepnes of the yield curve leads surprisingly to lower credit...

Welche Einflussfaktoren bestimmen die Spreadentwicklung im Kapitalmarktsegment derBanken im Verlauf der Finanzkrise? Unter Verwendung der Regressionsanalyse werden dieDeterminanten von Asset-Swap- (ASW) und Credit-Default-Swap- (CDS) Spreads ausgewähltereuropäischer Banken im Zeitraum April...

This paper empirically investigates the risk and performance of three types of alternative betaproducts over the January 2002 to September 2009 time period: funds of hedge funds (FHFs),investable hedge fund indices (IHFIs), and hedge fund replication strategies (HFRS). Weshow that IHFIs are true...

Implied Base Correlations of Single-tranche CDOs on standardized Credit Indices such asthe iTraxx Europe have been used in the credit derivatives market for price communication.During the financial crisis, implied correlations have been quite volatile indicating thegrowing fraction of systematic...

Exchange Traded Funds (ETF) were established in Europe in 2000 and have grown to a sizeof over 200 bn US$. Some issuers use a full replication strategy while others prefer a swapbased approach. The ETF are dealt parallelly in the primary and in the secondary market, asnew ETFs can be created at...