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Default Risk of Treasury Securities

Norén, Vicke LU (2012) NEKH01 20121
Department 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.
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author
Norén, Vicke LU
supervisor
organization
course
NEKH01 20121
year
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},
  keyword      = {Default risk,financial crisis,paper-bill spread,risk-free rate,treasury securities},
  language     = {eng},
  note         = {Student Paper},
  title        = {Default Risk of Treasury Securities},
  year         = {2012},
}