caa a22 4500 605451176 CHVBK 20210128100150.0 cr unu---uuuuu 210128e20150701xx s 000 0 eng 10.1007/s11147-014-9106-z doi (NATIONALLICENCE)springer-10.1007/s11147-014-9106-z Pricing anomaly at the first sight: same borrower in different currencies faces different credit spreads—an explanation by means of a quanto option [Elektronische Daten] [Andreas Rathgeber, David Rudolph, Stefan Stöckl] Can the credit spreads of one and the same issuer differ in two different currencies? If so, can an investor exploit this situation? To answer these questions and to contribute to the existing literature, we extend the Jarrow/Turnbull-model with a second currency, price a quanto option, and test the theoretical results with an extensive empirical study. A major result of the study was the key insight that the credit spreads, and therefore the cumulated implied default probabilities of nearly all bonds denominated in USD in comparison to EUR denominated bonds, are significantly higher for all terms, and are mostly driven by the correlation between default risk and exchange rate. Springer Science+Business Media New York, 2014 Credit spreads nationallicence Efficient market hypothesis nationallicence Foreign currency government bonds nationallicence Implied default probabilities nationallicence Term structure of interest rate nationallicence Rathgeber Andreas Department of Public Health and Health Technology Assessment, University of Health Sciences, Medical Informatics and Technology (UMIT), EWZ 1, 6060, Hall in Tyrol, Austria aut Rudolph David Chair of Finance and Information Management, Faculty of Mathematics and Natural Sciences, Institute of Materials Resource Management, University of Augsburg, Universitätsstraße 12, 86159, Augsburg, Germany aut Stöckl Stefan ICN Business School Nancy|Metz (Grande école) - CEREFIGE, 3 Place Edouard Branly, 57070, Metz, France aut Review of Derivatives Research Springer US; http://www.springer-ny.com 18/2(2015-07-01), 107-143 1380-6645 18:2<107 2015 18 11147 https://doi.org/10.1007/s11147-014-9106-z text/html Onlinezugriff via DOI BK010053 XK010053 XK010000 Metadata rights reserved Springer special CC-BY-NC licence nationallicence 1 research-article jats NATIONALLICENCE NATIONALLICENCE NL-springer NATIONALLICENCE 856 40 https://doi.org/10.1007/s11147-014-9106-z text/html Onlinezugriff via DOI NATIONALLICENCE 700 1- Rathgeber Andreas Department of Public Health and Health Technology Assessment, University of Health Sciences, Medical Informatics and Technology (UMIT), EWZ 1, 6060, Hall in Tyrol, Austria aut NATIONALLICENCE 700 1- Rudolph David Chair of Finance and Information Management, Faculty of Mathematics and Natural Sciences, Institute of Materials Resource Management, University of Augsburg, Universitätsstraße 12, 86159, Augsburg, Germany aut NATIONALLICENCE 700 1- Stöckl Stefan ICN Business School Nancy|Metz (Grande école) - CEREFIGE, 3 Place Edouard Branly, 57070, Metz, France aut NATIONALLICENCE 773 0- Review of Derivatives Research Springer US; http://www.springer-ny.com 18/2(2015-07-01), 107-143 1380-6645 18:2<107 2015 18 11147