Götz, L. (2011). Risk analysis of european corporate bonds and the volatility term structure [Dissertation, Technische Universität Wien]. reposiTUm. http://hdl.handle.net/20.500.12708/160185
This doctoral dissertation is dedicated to provide new perspectives on selected sources of risks in financial securities.<br />Specifically, three of the most significant investment innovations within the last two decades are at the center of this work. The study starts with a treatment of the performance and main determinants of Euro-denominated corporate bonds. An important finding is that lower rated bonds don't yield significantly higher returns compared to debt securities with superior credit ratings. Also, I find that corporate bonds with maturities between one and three years yield significant anomalous returns. The analysis proceeds by shedding lights into the main drivers of asset swap spreads. My results suggest that credit spreads display significant regime specific dynamics, depending on the prevailing market conditions. During periods of financial crisis spreads are highly sensitive to equity market volatility - measured by implied volatility -, whereas in tranquil periods credit spreads are mainly influenced by stock markets returns. Also, I find clear evidence of negative autocorrelation of asset swap spread changes in tranquil periods and positive autocorrelation in the volatile regime. Based on the aforementioned results the final part of this thesis deals with implied volatility through the parameterization of variance swaps. By means of quantile regression it is possible to provide a detailed view on the asymmetric volatility phenomenon of the conditional joint distribution of stock returns and changes in implied volatility.<br />Remarkably, this asymmetry is not monotonically decreasing. However, I find increased sensitivity at the lowest quantiles compared to the median.