The subprime crisis which hit the United States in summer 2007 and morphed into a full blow global financial upheaval in autumn 2008 has taken a heavy toll on the insurance industry. Some industry players with significant financial markets and banking operations were seriously damaged by the...

We use a unique dataset of bond downgrades from a niche rating company that has been found to be reacting faster to publicly available information than its competitors. Using regime-switching models we propose risk measures to quantify stock return disturbances (distress costs) associated with...