| Type: | PhD thesis |
| Author: | Patrick Houweling |
| Abstract: | Credit markets have experienced a tremendous growth over the last decade. The literature initially brought about primarily theoretical studies, which developed numerous models to gain a better understanding of the risks that drive credit markets, as well as models to price and hedge defaultable bonds and credit derivatives. Empirical studies on credit markets were for a long time hampered by a lack of market data. Only since the last few years, research started to appear that analyzed not only US but also European and emerging markets, and not only bonds but also credit derivatives. This thesis contributes to this growing empirical literature by presenting four studies on the issues of estimating spread curves, measuring corporate bond liquidity, pricing default swaps and pricing step-up bonds. |
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| Download: | thesis.pdf (1813 kB) |
