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Contribution Details

Type Master's Thesis
Scope Discipline-based scholarship
Title Yield components in Corporate Private Debt
Organization Unit
Authors
  • Leandro Künzli
Supervisors
  • Alexander Wagner
Language
  • English
Institution University of Zurich
Faculty Faculty of Business, Economics and Informatics
Number of Pages 94
Date 2021
Abstract Text The yield components of corporate direct lending are investigated. The OLS models reveal that yields for riskcongruent loans are approximately 100bps above syndicated loans. For loan and borrower characteristics which presumably increase risk, mostly significant relations with yields are found. Cyclical impacts are investigated for, observing relevant changes over vintage years. For a given observation, the risk is compensated independent of the seniority of the loan. Furthermore, European loans tend to be lower in the capital structure and therefore face different risk exposure. Overall, the results imply what borrower characteristics are significantly correlated with the a priori calculated yield.
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