Divergence of Risk Measures across Different Market Conditions: The nature and dynamics of bond pricing in the European Banking industry - Couverture souple

Borissova, Boriana

Couverture souple

ISBN 10 : 3844318240 ISBN 13 : 9783844318241

Editeur : LAP Lambert Academic Publishing, 2011

Synopsis

In the following work we analyze the nature and dynamics of bond pricing in the European banking industry. In particular, we empirically investigate the relationship between the bond spread and the corresponding credit rating in light of different market conditions. Three important results emerge from our analysis. First, risk measures' divergence tends to be higher in relatively opaque markets where corruption, legal and accounting inefficiencies are present. Furthermore, the difference between the two indicators is proved to be affected by the quality of credit information available to market participants. Last but not least, such a divergence is likely to be higher in periods of market downturn and lower in periods of economic prosperity. These results have interesting implications for the interpretation of the explanatory power of risk sensitivity models in a market discipline context.

A propos du livre

À propos de l?auteur

Boriana has been analysing the dynamics of bond pricing in the European banking sector as part of her Master studies in Finance at Bocconi University, Milan. She spent part of her academic training in China and Canada, moving to London after graduation. Boriana is currently working in the investment management industry.

Détails de l'édition

• Éditeur: LAP Lambert Academic Publishing
• Date d'édition: 2011
• Langue: anglais
• ISBN 10: 3844318240
• ISBN 13: 9783844318241
• Reliure: Broché
• Nombre de pages: 56
• Coordonnées du fabricant: non disponible
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