We use EU sovereign bond yield and CDS spreads daily data to carry out an event study analysis on the reaction of … government yield spreads before and after announcements from rating agencies (Standard & Poor’s, Moody’s, Fitch). Our results … show: significant responses of government bond yield spreads to changes in rating notations and outlook, particularly in …

This paper contributes new evidence on market pricing of rating changes. We examine the relation between spreads and … ratings for a very large and comprehensive sample of corporate bonds, which allows us to test for country- and industry …

developments in sovereign spreads: (i) an aggregate regional risk factor, (ii) the country-specific credit risk and (iii) the … pricing of all euro area spreads, including those for Austria, Finland and the Netherlands. Country-specific credit ratings … have played a key role in the developments of the spreads for Greece, Ireland, Portugal and Spain. Finally, the rating …

-currency-denominated bonds. In particular, we investigate whether bond issuers choose their issuance currency in order to exploit the borrowing …

predictive (conditional) loss densities for portfolios of corporate bonds in the presence of different sources of credit risk …