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Credit Risk in Corporate Spreads During the Financial Crisis of 2008

QFRC Occasional Lecture

PRESENTER: Professor Geneviève Gauthier

RSVP:  qfrc@uts.edu.au for catering purposes



Abstract

Credit spreads and CDS premiums are investigated before, during and after the financial crisis with a flexible credit risk model. The latter is designed to capture empirical facts: a regime-switching framework adjusts its behavior to the financial cycles and the negative relationship between recovery rates and default probabilities appears endogenously.A firm-by-firm estimation based on a filtering procedure deals with microstructure noises. Using 225 firms, notorious empirical questions are revisited. The proportion of the spread explained by credit risk decreases during the crisis. Liquidity plays a significant role in explaining this gap throughout the financial turmoil and persists afterward.

Light Refreshments Provided



Date:           Monday 4 August 2014          

Time:          4:00pm-6:00 pm

Location:     City - Haymarket CM05D - Conference Room (Level 2)

RSVP:         Caroline.Dobson@uts.edu.au  and Map


Upcoming Events go here: http://cfsites1.uts.edu.au/qfrc/news-events/index.cfm


 

Date:
4 August 2014
Time:
16:00 - 18:00
Location:
City - Haymarket CB05D LEVEL 2: Conference Room (Finance Discipine Group)
Audience:
All Welcome
Cost:
Complimentary
RSVP:
qfrc@uts.edu.au
Contact:
Caroline Dobson, Ph. 95147777
More info:
http://cfsites1.uts.edu.au/qfrc/news-events/index.cfm
URL:
Map

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