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Credit Spreads und ihre Determinanten in Deutschland

Author

Listed:
  • Horst Rottmann
  • Franz Seitz

Abstract

Für Unternehmen kann die Analyse von Credit Spreads, d.h. der Differenz zwischen den Renditen von Unternehmensanleihen und laufzeitäquivalenten risikolosen Anlagen, nützliche Informationen erbringen, da sich Veränderungen im Credit Spread auf ihre Finanzierungskonditionen auswirkt. Prof. Dr. Horst Rottmann, Fachhochschule Amberg-Weiden und Forschungsprofessor am ifo Institut, und Prof. Dr. Franz Seitz, Fachhochschule Amberg-Weiden, untersuchen hier die Bestimmungsfaktoren der Credit Spreads für nicht-finanzielle DAX-Unternehmen. Sie zeigen, dass neben den traditionellen Determinanten Rating und Restlaufzeit auch die Volatilität und der risikolose Zinssatz eine wichtige Rolle bei der Erklärung von Spreads spielen.

Suggested Citation

  • Horst Rottmann & Franz Seitz, 2004. "Credit Spreads und ihre Determinanten in Deutschland," ifo Schnelldienst, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 57(24), pages 10-14, December.
    • Handle: RePEc:ces:ifosdt:v:57:y:2004:i:24:p:10-14
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    File URL: https://www.ifo.de/DocDL/ifosd_2004_24_2.pdf
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    References listed on IDEAS

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    Cited by:

    1. Odermann, Alexander & Cremers, Heinz, 2013. "Komponenten und Determinanten des Credit Spreads: Empirische Untersuchung während Phasen von Marktstress," Frankfurt School - Working Paper Series 204, Frankfurt School of Finance and Management.

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    More about this item

    Keywords

    Kreditrisiko; Kredit; Anleihe; Unternehmen; Schätzung; Bewertung; Deutschland;
    All these keywords.

    JEL classification:

    • G30 - Financial Economics - - Corporate Finance and Governance - - - General

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