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Komponenten und Determinanten des Credit Spreads: Empirische Untersuchung während Phasen von Marktstress

Alexander Odermann and Heinz Cremers

No 204, Frankfurt School - Working Paper Series from Frankfurt School of Finance and Management

Abstract: The credit crisis and the following sovereign debt crisis during 2007 and 2012 led to an increasing volatility of European corporate bond credit spreads. European investment grade credit spreads rose in 2007 and 2008 from 50 BP to over 350 BP. In the years after the credit spreads declined to 100 BP caused by global central bank interventions. Since 2010 the sovereign debt crisis in the eurozone intensified and credit spreads simultaneously widened to 200 BP. This paper defines the components of the credit spread by analysing different risk factors of corporate bonds such as credit risk, market risk and residual spread risk. To specify the proper credit spread level, various mesurement methods like the yield to maturity, zero rate, z-spread and credit default swaps are compared. To better understand the changes of credit spreads over time this paper further discusses the determining drivers of the credit spread. Backed by a theoretical framework the relevant drivers of the credit spread changes are the term structure of interest rates, the economic cycle, the enterprise value and the market liquidity. The credit spread drivers are empirically tested in a regression analysis using European investment grade corporate bond data during 2007 and 2012.

Keywords: Credit Spread; Present value; Credit Spread components; Default risk; Credit Spread risk; Liquidity risk; Risk free rate; Yield-to-maturity; Zero rate; Z-Spread; Structured Model; Reduced Form Model; Credit Spread drivers (search for similar items in EconPapers)
JEL-codes: C15 G01 G11 G12 G32 (search for similar items in EconPapers)
Date: 2013
New Economics Papers: this item is included in nep-ger and nep-rmg
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