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Do hidden liabilities unravel the credit spread puzzle?

Breshani, Egis; Filchenko, Anastasiia
Master thesis
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1760184.pdf (3.967Mb)
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http://hdl.handle.net/11250/2478131
Utgivelsesdato
2017
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  • Master of Science [1116]
Sammendrag
This work is based on the so-called “Credit Spread Puzzle” phenomenon. It suggests a

new way to deal with the phenomenon, namely, the consideration of hidden debt in

specific firms’ balance sheets. This information serves as an input in assessing a firm’s

credit risk and default probabilities. The work’s aim is to test, through known credit risk

models, whether the modified input helps to bridge the gap between theoretical and

observed credit prices and spreads and to determine the extent to which it does make a

change.
Beskrivelse
Masteroppgave(MSc) in Master of Science in Business, Finance - Handelshøyskolen BI, 2017 Masteroppgave(MSc) in Master of Science in Finance - Handelshøyskolen BI, 2017
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BI Norwegian Business School

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