Analys av kredit- och ränterisk över konjunkturcykler - En studie av amerikanska företagsobligationer

Abstract

In recent years, the market for US corporate bonds has recovered from the financial crisis in 2008. Since the credit spread is of great importance to many stakeholders, this thesis has been written with the purpose to examining the underlying factors that affect the credit spread for US corporate bonds. The paper also intends to investigate if these factors varies depending on the business cycle. In order to investigate the issues mentioned above, we have been running six OLS-regressions where the separating factors have been credit rating and the state of the business cycle. The result confirms previous studies and indicates that the explanatory variables varies given credit rating and the state of the business cycle. What is also apparent is that the implied volatility plays a large part in the determining of the credit spread, which is in line with the contingent claims pricing model.