LIBROS DEL AUTOR: verena anna berger

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  • Impact of Government Bonds Spreads on Credit Derivatives
    Verena Anna 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 main findings which are calculated by using the Fontana-Scheicher model show tha...
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