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Deze masterproef onderzoekt de invloed van credit downgrades uitgegeven door kredietbeoordelaars, zoals Moody's, Fitch en S&P, op de Europese obligatiemarkt. De focus ligt voornamelijk op het concept van financiële besmetting. Aan de hand van een algemene regressie wordt de invloed van een negatieve kredietscore op de nationale obligatiemarkt onderzocht. Vervolgens wordt via een event study de invloed van diezelfde kredietwijziging aangetoond op de volledige Europese obligatiemarkt. Het eindresultaat bleek significant. Door de recente politieke en financiële eenmaking in Europa worden nationale schokken inderdaad doorgegeven aan andere lidstaten waarop de schok de facto niet van toepassing is. Er is sprake van financiële besmetting op de Europese obligatiemarkt.

Credit rating changes. --- Economische systemen. --- Sovereign bond yield spread. --- Sovereign debt crisis. --- Spillover effects.

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Written by one of the leading experts in the field, this book focuses on the interplay between model specification, data collection, and econometric testing of dynamic asset pricing models. The first several chapters provide an in-depth treatment of the econometric methods used in analyzing financial time-series models. The remainder explores the goodness-of-fit of preference-based and no-arbitrage models of equity returns and the term structure of interest rates; equity and fixed-income derivatives prices; and the prices of defaultable securities. Singleton addresses the restrictions on t

Capital assets pricing model. --- Pricing --- Econometric models. --- Arbitrage. --- Asymptotic distribution. --- Autocorrelation. --- Autocovariance. --- Autoregressive conditional heteroskedasticity. --- Bayesian inference. --- Bayesian probability. --- Bond Yield. --- Capital asset pricing model. --- Central limit theorem. --- Collateral Value. --- Conditional expectation. --- Conditional probability distribution. --- Conditional variance. --- Consistent estimator. --- Correlation and dependence. --- Covariance function. --- Covariance matrix. --- Credit risk. --- Credit spread (options). --- Discount function. --- Discrete time and continuous time. --- Doubly stochastic model. --- Dynamic pricing. --- Econometric model. --- Economic equilibrium. --- Economics. --- Equity premium puzzle. --- Ergodic process. --- Estimation theory. --- Estimation. --- Estimator. --- Expectations hypothesis. --- Expected value. --- Forecasting. --- Forward price. --- Forward rate. --- General equilibrium theory. --- Generalized method of moments. --- High-yield debt. --- Inference. --- Interest rate risk. --- Interest rate. --- Investment Horizon. --- Investment strategy. --- Investor. --- Joint probability distribution. --- LIBOR market model. --- Leverage (finance). --- Likelihood function. --- Liquidity premium. --- Liquidity risk. --- Margin (finance). --- Marginal rate of substitution. --- Marginal utility. --- Market Risk Premium. --- Market capitalization. --- Market liquidity. --- Market portfolio. --- Market price. --- Market value. --- Markov model. --- Markov process. --- Mathematical finance. --- Monetary policy. --- Objective Probability. --- Option (finance). --- Parameter. --- Partial equilibrium. --- Portfolio insurance. --- Precautionary savings. --- Predictability. --- Preference (economics). --- Present value. --- Price index. --- Pricing. --- Principal component analysis. --- Probability. --- Real interest rate. --- Repurchase agreement. --- Revaluation of fixed assets. --- Risk aversion. --- Risk management. --- Risk premium. --- Skewness. --- Special case. --- Standard deviation. --- State variable. --- Statistic. --- Stochastic differential equation. --- Stochastic volatility. --- Supply (economics). --- Time series. --- Underlying Security. --- Utility maximization problem. --- Utility. --- Variable (mathematics). --- Vector autoregression. --- Yield curve. --- Yield spread.

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"In this book, two of America's leading economists provide the first integrated treatment of the conceptual, practical, and empirical foundations for credit risk pricing and risk measurement. Masterfully applying theory to practice, Darrel Duffie and Kenneth Singleton model credit risk for the purpose of measuring portfolio risk and pricing defaultable bonds, credit derivatives, and other securities exposed to credit risk. The methodological rigor, scope, and sophistication of their state-of-the-art account is unparalleled, and its singularly in-depth treatment of pricing and credit derivatives further illuminates a problem that has drawn much attention in an era when financial institutions the world over are revising their credit management strategies."--Jacket.

Credit --- Risk management. --- Management. --- Approximation. --- Asset. --- Balance sheet. --- Bankruptcy. --- Basis Point. --- Bond (finance). --- Bond Yield. --- Bond market. --- Bond valuation. --- Broker-dealer. --- Business cycle. --- Calculation. --- Call option. --- Capital market. --- Capital requirement. --- Cash flow. --- Characteristic function (probability theory). --- Coefficient. --- Collateralized debt obligation. --- Conditional probability distribution. --- Counterparty. --- Coupon (bond). --- Coupon. --- Covariance matrix. --- Credit (finance). --- Credit derivative. --- Credit event. --- Credit rating. --- Credit risk. --- Credit spread (options). --- Currency. --- Debt. --- Default Rate. --- Discounts and allowances. --- Diversification (finance). --- Economics. --- Estimation. --- Event of default. --- Face value. --- Financial institution. --- Forward rate. --- Government bond. --- Government debt. --- Hedge (finance). --- High-yield debt. --- Interest rate swap. --- Interest rate. --- Interest-Rate Derivative. --- Investment. --- Investor. --- Issuer. --- Lehman Brothers. --- Leverage (finance). --- Liability (financial accounting). --- Libor. --- Likelihood function. --- Long run and short run. --- Market Value Of Equity. --- Market liquidity. --- Market price. --- Market value. --- Markov chain. --- Markov process. --- Moneyness. --- Parameter. --- Payment. --- Payout. --- Present value. --- Price Change. --- Pricing. --- Probability distribution. --- Probability of default. --- Probability. --- Random variable. --- Rate of return. --- Repurchase agreement. --- Risk management. --- Risk premium. --- Risk-neutral measure. --- Securitization. --- Short rate. --- Short-rate model. --- Skewness. --- Special case. --- Spread option. --- Standard deviation. --- Stochastic volatility. --- Swap (finance). --- Swap rate. --- Tax. --- Time horizon. --- Time series. --- Trader (finance). --- Tranche. --- Valuation (finance). --- Value (economics). --- Variance. --- Yield curve. --- Yield spread. --- Zero-coupon bond.