从信用违约互换 spread 导出的风险溢价 Essays

English | 2024 | ISBN-10: 3658461721 | ‎ 232 pages | Epub PDF (True) | 4 MB

The book provides comprehensive empirical analyses on two overarching research topics with a focus on Europe, covering the period from the global financial crisis to the end of 2021, with a special emphasis on the post-European sovereign debt crisis era.

The first research focus addresses the direction of the relationship between the risk premium and the risk-free interest rate. Although this issue is not entirely new, it has gained particular relevance due to the historically low interest rates until the end of 2021. Risk premiums are derived from sovereign and corporate credit default swap (CDS) spreads. The empirical results suggest a positive relationship.

这本书提供了关于两个主要研究主题的综合实证分析，重点放在欧洲，并涵盖从全球金融危机到2021年年末的时期，特别强调了后欧元主权债务危机时代。 第一个研究焦点探讨风险溢价与无风险利率之间的方向关系。虽然这个问题并非完全新颖，但自2021年末的历史低利率水平使得这一问题变得尤其相关。风险溢价来自主权和公司信用违约互换（CDS）利差。实证结果表明两者之间存在正相关关系。

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