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Coporate Bond Valuation and Credit Spreads : Lessons from the Finacial Crisis Achraf Seddik

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Coporate Bond Valuation and Credit Spreads : Lessons from the Finacial Crisis Achraf Seddik Coporate Bond Valuation and Credit Spreads : Lessons from the Finacial Crisis Achraf Seddik To cite this version: Achraf Seddik. Coporate Bond Valuation and Credit Spreads : Lessons from the Finacial Crisis. Economics and Finance. Université Sorbonne Paris Cité, 2015. English. NNT : 2015USPCD081. tel-01985758 HAL Id: tel-01985758 https://tel.archives-ouvertes.fr/tel-01985758 Submitted on 18 Jan 2019 HAL is a multi-disciplinary open access L’archive ouverte pluridisciplinaire HAL, est archive for the deposit and dissemination of sci- destinée au dépôt et à la diffusion de documents entific research documents, whether they are pub- scientifiques de niveau recherche, publiés ou non, lished or not. The documents may come from émanant des établissements d’enseignement et de teaching and research institutions in France or recherche français ou étrangers, des laboratoires abroad, or from public or private research centers. publics ou privés. UNIVERSITÉ PARIS 13, SORBONNE PARIS CITÉ Thesis For the degree of Doctor in Economics Université Paris 13, Sorbonne Paris Cité Presented and defended on November 27 th 2015 by: Achraf SEDDIK CORPORATE BOND VALUATION AND CREDIT SPREADS: LESSONS FROM THE FINANCIAL CRISIS Supervisor: Dominique PLIHON Committee ȱmembers: Professor at Université Paris Ouest Referees ȱ Christophe BOUCHER Nanterre La Défense Associate Professor at I ÉSEG School ȱ Hayette GATFAOUI ȱ of Management Associate Professor at Université Examiners Ahmed KEBAIER Paris 13 Sorbonne Paris Cité Professor at Université Paris Ouest ȱ Michel BOUTILLER Nanterre La Défense Professor at Université Paris 13 Supervisor Dominique PLIHON Sorbonne Paris Cité The University of Paris 13 does not intend giving any approval or disapproval to the opinions expressed in the theses: these opinions must be considered as the author’s own. L’Université Paris 13 n’entend donner aucune approbation ni improbation aux opinions émises dans les thèses : ces opinions devront être considérées comme propres à leurs auteurs. This thesis has been prepared in: CEPN Centre d’Économie de Paris Nord 99, Avenue Jean Baptiste Clément 93340 Villetaneuse - Cedex France Tel: (33)(0)1.49.40.32.55 Fax: (33)(0)1.49.40.33.34 Mail: Website: Ǧ ̷Ǧͳ͵Ǥ ǣȀȀǤǦͳ͵ǤȀ And: Érasme Doctoral School, 99, Avenue Jean Baptiste Clément 93340 Villetaneuse - Cedex France Tel: (33)(0)1.49.40.32.56 Mail: Website: Ǧ̷Ǧͳ͵Ǥ ǣȀȀǤǦͳ͵ǤȀ Ǧ ǦȀ An expert is a person who has made all the mistakes that can be made in a very narrow field. Niels Bohr (1885-1962) On the mountains of truth you can never climb in vain: either you will reach a point higher up today, or you will be training your powers so that you will be able to climb higher tomorrow. Friedrich Nietzsche (1844-1900) Remerciements Conclusion Mes premiers remerciements vont à mon directeur de thèse Dominique Plihon. Je le remercie de m’avoir ouvert les portes de la recherche et de m'avoir fait confiance pour cette aventure de thèse. Ses critiques ont été pour moi une source d’inspiration constante. Je le remercie également de m’avoir transmis sa conception du travail de recherche et de l'écriture scientifique. Je remercie Christophe Boucher et Hayette Gatfaoui d’avoir accepté d’être rapporteurs de cette thèse et Michel Boutillier et Ahmed Kebaier d’avoir accepté de faire partie du jury. Je me réjouis à l’avance de pouvoir bénéficier de leurs conseils et de pouvoir débattre avec eux lors de ma soutenance. Je remercie particulièrement Ahmed Kebaier qui fût mon enseignant lors de nombreux cours à l’Université Paris XIII ou même à HEC Paris. Ses enseignements, toujours très intéressants et stimulants, ont contribué à renforcer mes compétences en mathématiques pour bien entreprendre ce travail de recherche. Le temps qu’il m’a accordé et la bienveillance avec laquelle il a répondu à mes nombreuses questions m’ont permis d’avancer dans les moments de doute. Cette thèse n’aurait pas été ce qu’elle est aujourd’hui si je n’avais pas eu la chance d’échanger avec de nombreux chercheurs. Je remercie particulièrement Nathalie Rey, Jérôme Mathis, Luciano Campi, Raphael Douadi et Mohammed Ben Alaya d'avoir pris le temps de répondre à mes sollicitations. Je remercie le CEPN (Centre d’Économie de l’Université Paris Nord) et l’Université Paris 13 de m’avoir offert les conditions nécessaires à la réalisation de ce travail. Les rencontres que j’ai pu y effectuer dans le cadre de mes recherches et de mes enseignements ont été pour moi d'une grande richesse. Bien que je ne puisse tous les remercier individuellement, je tiens à mentionner : Nathalie Rey, Michel Roux, Delphine David, Damien Besancenot, Cédric Durand, Robert Guttmann, Luc Marco, Jean-Jacques Mazier, Francisco Serranito, Pascal Petit, et Didier Borowski. Je remercie également les enseignants avec lesquels j’ai travaillé dans le cadre de mes fonctions d’attaché temporaire d’enseignement et de recherche à l’université Paris VIII de leur aide et d’avoir partagé avec moi leur expertise de l'enseignement et de la recherche : Jérôme Mathis, Jean-claude Kahané, Véronique de Saint-Giniez, Stéphane Goutte, Lucile chérubin et Florence Machtinger. Je tiens à saluer mes collègues doctorants, devenus docteurs pour certains : Heger Attaya, Félix Boggio, Jihène Bjeoui, Louison Cahen-Fourot, Matteo Cavallaro, Habib Doggui, Kaouthar Dkhissi, Walid Drira, Ozan Ekin Kurt, Florence Gallois, Serge Herbillon-Leprince, Catherine Le, Luis Reyes, Raquel Ramos, Remy Stieglitz, Zineb Tensaout, Amina Ben Yahya et Hiroki Yokota. Les échanges que nous avons eus ont été pour moi une grande source de satisfaction intellectuelle. Je remercie également mes camarades du bureau de l'association des doctorants et post-doctorants de Paris 13 (Adepe) : Fatimata Sy, Alexandra Ferreira, Mirza Riskwait, Guillaume Giraud, Elodie Jacquet, Sonia sauce, Benoit Perrin. Les évènements scientifiques et associatifs que nous avons pu organiser ont été d'une grande richesse. Je profite de cet espace pour saluer mes camarades de l'équipe active du club des jeunes financiers, club qui a beaucoup contribué ma culture économique et financière. En particulier : Christophe Connille, Elyssar Sleiman, Mélanie Mahramadjian, Baptiste Faure, David Rossignol, Sylvain Trébaol, Anne-Audrey Claude, Miguel Nicolas et Ashley Boolell. Je remercie aussi les personnes qui m’entourent depuis plusieurs années, et qui ont contribué de proche ou de loin à cette thèse. En particulier je souhaite remercier mes chers amis : Heger Attaya, Marylin Rangassamy, Corentin Crémet, Fatimata Sy, Héléna Sallard, Hervé Kobo, Nasreddine M'dimagh, Samed Hajji et Youssef ayari, qui m'ont été d'un grand soutien. Je tiens évidemment à remercier l’ensemble de ma famille pour leur soutien et leur présence durant toutes ces années. Je remercie tout d’abord mes deux frères Bassem et Taha avec qui j’ai grandi et partagé tant de choses. Un merci tout particulier à Bassem de m'avoir aidé à faire la chasse aux coquilles et pour ses remarques d'expert. Enfin, je remercie du fond du cœur mes parents, Nejma et Amara, pour leur soutien, leur confiance et leur amour durant toutes ces années. Merci à tous les deux des valeurs que vous avez si bien su m'inculquer et d’avoir fait de moi l'homme que je suis aujourd'hui. Ce travail vous est dédié. Table of contents Introduction ……….……………….…………………………………… 1 Chapter I. Corporate bonds valuation and credit spreads: a a a theoretical analysis …….……….…………………………………… 6 3.1. Deriving credit spread: ........................................................................ 11 3.2. Numerical analysis: .............................................................................. 16 3.3. Discussion: ........................................................................................... 21 4.1. Deriving credit spread: ........................................................................ 25 4.2. Numerical analysis: .............................................................................. 28 4.3. Discussion: ........................................................................................... 31 5.1. Deriving credit spread: ........................................................................ 34 5.2. Numerical analysis: .............................................................................. 38 5.3. Discussion: ........................................................................................... 41 6.1. Deriving credit spreads ........................................................................ 44 6.2. Numerical analysis: .............................................................................. 47 6.3. Discussion: ........................................................................................... 50 7.1. The impact of incomplete or delayed information: ............................. 52 7.2. The impact of economic conditions: .................................................... 55 7.3. The impact of liquidity: ....................................................................... 57 Chapter II. The corporate bond market during the crisis: a descriptive analysis of credit spreads …………….……………… 64 2.1. Data: ........................................................................................................... 66 2.1.1 Credit spreads sample: ................................................................... 66 2.1.2 Additional variables: ...................................................................... 67 2.2. Descriptive statistics: .................................................................................
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