KTH Matematik  

Matematisk Statistik

Tid: 26 maj 2017 kl 09.15-10.00.

Seminarierummet 3721, Institutionen för matematik, KTH, Lindstedtsvägen 25, plan 7. Karta!

Föredragshållare: Merouane Brahimi

Titel: The impact of macro-economic indicators on credit spreads (Master's thesis)

Abstract A model of credit spreads variations, based on macroeconomic and market variables, has been developed and presented in this paper. Credit spreads of speculative and investment grade bonds have been investigated, leading us to a linear relationship between their quarterly variations. Thanks to their risk contribution we clearly identify government bond rates and a financial conditions index as the most significant variables. Hence, based on macroeconomic views on the market in 2017, we perform some predictions on future variations on spreads based on this model, displaying the flattening of high yield credit spreads and the widening of investment grade spreads in the long run. In addition, a cointegration relationship between spreads, rates and the ISM has been found, meaning that there exists a mean-reverting process representing the spread between credit spreads and a linear combination of these factors. As a consequence, thanks to this process we can conclude about the potential immediate tightening of credit spreads.

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Sidansvarig: Filip Lindskog
Uppdaterad: 25/02-2009