Abstract
This chapter investigates in detail the research questions. Therefore, the calibration of the model in order to examine the research questions is handled first. Subsequently, the individual impact of varying increase levels of bond yields on CDS spreads and varying interest levels is exam-ined. Furthermore, the effect of changing both, varying increase level of bond yields including interest rates adjustments is investigated.
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© 2018 Springer Fachmedien Wiesbaden GmbH
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Berger, V.A. (2018). Simulation of government bond spread increase. In: Impact of Government Bonds Spreads on Credit Derivatives. BestMasters. Springer Gabler, Wiesbaden. https://doi.org/10.1007/978-3-658-20219-4_4
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DOI: https://doi.org/10.1007/978-3-658-20219-4_4
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Publisher Name: Springer Gabler, Wiesbaden
Print ISBN: 978-3-658-20218-7
Online ISBN: 978-3-658-20219-4
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