Default Risk of Treasury Securities
(2012) NEKH01 20121Department of Economics
- Abstract
- The short-term paper-bill spread is studied and emphasis is put on default risk premia exclusively. An event study analysis is conducted and enhanced by independent quantitative methods. The U.S. money market is exhaustively analyzed throughout the recent global financial crisis. An extension of previous research shows how the market treats Treasury securities in severe times. Empirical results support the hypothesis of embedded default risk, albeit an anomalous flight to quality behaviour is evident in later stages of the crisis.
Please use this url to cite or link to this publication:
http://lup.lub.lu.se/student-papers/record/2857222
- author
- Norén, Vicke LU
- supervisor
-
- Hans Byström LU
- organization
- course
- NEKH01 20121
- year
- 2012
- type
- M2 - Bachelor Degree
- subject
- keywords
- Default risk, financial crisis, paper-bill spread, risk-free rate, treasury securities
- language
- English
- id
- 2857222
- date added to LUP
- 2012-08-06 09:29:12
- date last changed
- 2012-08-06 09:29:12
@misc{2857222, abstract = {{The short-term paper-bill spread is studied and emphasis is put on default risk premia exclusively. An event study analysis is conducted and enhanced by independent quantitative methods. The U.S. money market is exhaustively analyzed throughout the recent global financial crisis. An extension of previous research shows how the market treats Treasury securities in severe times. Empirical results support the hypothesis of embedded default risk, albeit an anomalous flight to quality behaviour is evident in later stages of the crisis.}}, author = {{Norén, Vicke}}, language = {{eng}}, note = {{Student Paper}}, title = {{Default Risk of Treasury Securities}}, year = {{2012}}, }