Divergence of Risk Measures across Different Market Conditions

by Borissova, Boriana
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Borissova, Boriana Divergence of Risk Measures across Different Market Conditions
Borissova, Boriana - Divergence of Risk Measures across Different Market Conditions

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Description

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.

Contributors

Author:
Borissova, Boriana

Further information

Biography Artist:
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.
Language:
English
Number of Pages:
56
Media Type:
Softcover
Publisher:
LAP Lambert Academic Publishing

Master Data

Product Type:
Paperback book
Package Dimensions:
0.22 x 0.15 x 0.003 m; 0.132 kg
GTIN:
09783844318241
DUIN:
MIALETMB7K6
$68.45
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