Titlebook: Essays on Risk Premiums derived from Credit Default Swap Spreads; Thomas Jopp Book 2024 The Editor(s) (if applicable) and The Author(s), u

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Essays on Risk Premiums derived from Credit Default Swap Spreads978-3-658-46173-7Series ISSN 2523-756X Series E-ISSN 2523-7578

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Introduction and Summary,to as CDS spreads when annualised, are particularly suitable for deriving forward-looking risk premiums. These are also briefly compared with other forms of risk premiums. Furthermore, the individual chapters are summarised, showing the extent to which CDS spreads are employed in the empirical analy

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The Relationship between Risk Premium and Risk-Free Interest Rate: Evidence from Sovereign CDS Sprepposite direction or are to be understood as independent of each other. While considerations regarding the direction of this relationship are not entirely new, they have gained particular relevance and sparked intense discussions, such as in the context of company valuations, due to the historically

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Credit Risk Premiums of European Companies,etween September 2012 and December 2021 is considered, i.e. when the interest rate level in the Eurozone was at the zero lower bound. Using panel data regressions, a positive relationship is found between these risk premiums and various operationalisations of the risk-free interest rate. Additionall

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,Staatsanleiherenditen in der Eurozone: Anzeichen für eine fiskalische Dominanz?,ngsweise der EZB unter dem Gesichtspunkt einer fiskalischen Dominanz an zusätzlicher Bedeutung gewonnen. Dieses Kapitel widmet sich der Forschungsfrage, ob im Euro-Währungsgebiet bereits in den Zeiträumen nach der jeweiligen EZB-Ankündigung von PSPP (Public Sector Purchase Programme) und PEPP (Pande

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