Risque de crédit et volatilité des spreads sur le marché de la dette privée en euro

Amos Aristide Sodjahin

in Economics Thesis from University Paris Dauphine from Paris Dauphine University

Abstract: The credit risk on the bond market is characterized by the possible default of a counterparty, but also by changes in the spread following a perceived deterioration, by the market, of the credit quality of the issuer. This thesis focuses on credit spreads on corporate bond market in euros. Following the introductory chapter that presents some stylized facts that characterize the dynamic of credit spreads in this market, the rest of the thesis is organized in three empirical studies. The first study proposes a model of the conditional variance of spreads in a non-Gaussian setting. Within the GARCH family models, we discuss the choice of the conditional distribution of innovations that is able to account for the asymmetry and excess kurtosis observed. The model associated with skewed generalized error distribution (Skewed-GED) seems to characterize the dynamic of credit spreads and performs well in terms of out-of-sample volatility forecast. From the structural models of risky debt, the second study examines the influence of market conditions on credit spreads. Regardless of the financial situation of the bond issuer, risk premiums seem to depend on interest rates, the state of the stock market, the foreign exchange market and the liquidity of the securities. The third study is devoted to examining the effect of macroeconomic news on credit spreads. Investors seem to attach greater importance to the releases of American’s indicators. The spreads of riskier issuers are more affected, especially in times of crisis.

Keywords: Credit spread in euro; asymmetric effects; conditional probability distribution; volatility forecast; market factor; macroeconomic news; market expectation; financial crisis; Spread de crédit en euro; effets d’asymétrie; distribution de lois conditionnelles; prévision de volatilité; conditions de marché; annonces macroéconomiques; attentes du marché; crises financières (search for similar items in EconPapers)
JEL-codes: C32 G01 G12 G32 (search for similar items in EconPapers)
Date: 2011 Written 2011
Note: dissertation
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