Determinants of Credit Spreads of Financial Institutions

Inhaltsverzeichnis (Table of Contents)

• Introduction
• Theoretical Principles
  • Literature Review
    • Determinants of CDS Spreads
    • The Credit Grades Framework
  • Model Description
    • The Classical Credit Grades™ Model
    • Extensions to the Credit Grades™ Model
• Descriptive Analysis
  • Data
  • Calibration
  • Descriptive Statistics
• Empirical Analysis
  • The Extended Credit Grades™ Model
  • Case Study Analysis
  • Cointegration across Equity and CDS Markets
    • Credit Spreads Long-Run Pricing Equilibrium
    • Price Discovery across Equity and CDS Markets
    • Cointegration in the Peripheral Eurozone
  • Analysis of the Credit Spread Deviations
• Conclusion and Outlook

Zielsetzung und Themenschwerpunkte (Objectives and Key Themes)

This master's thesis aims to analyze the determinants of credit spreads for financial institutions, specifically focusing on the relationship between equity and CDS markets. It investigates how these markets interact and influence each other, contributing to the understanding of credit risk pricing and potential contagion effects.

• Determinants of credit spreads for financial institutions
• Relationship between equity and CDS markets
• Credit risk pricing and contagion effects
• Cointegration analysis across equity and CDS markets
• Analysis of credit spread deviations

Zusammenfassung der Kapitel (Chapter Summaries)

• Introduction: This chapter provides an overview of the research topic, highlighting the importance of understanding credit spreads in the financial sector. It sets the context for the subsequent analysis, outlining the objectives and the structure of the thesis.
• Theoretical Principles: This chapter delves into the theoretical framework used in the analysis. It reviews existing literature on determinants of CDS spreads and introduces the Credit Grades™ model. The chapter explains the model's structure and its relevance to the research question.
• Descriptive Analysis: This chapter focuses on the data used in the empirical analysis. It describes the data sources, calibration methods, and presents descriptive statistics to gain an initial understanding of the data characteristics.
• Empirical Analysis: This chapter presents the core empirical findings of the thesis. It applies the extended Credit Grades™ model to the data and examines the relationship between equity and CDS markets through cointegration analysis. This analysis explores long-run pricing equilibrium, price discovery dynamics, and the impact of systemic events.

Schlüsselwörter (Keywords)

This master's thesis centers around key terms and concepts including credit spreads, CDS markets, equity markets, cointegration analysis, credit risk, contagion effects, and financial institutions. It examines the interplay between these factors, providing insights into the behavior of financial markets and the pricing of credit risk.