Coudert, Virginie; Gex, Mathieu - In: Applied Financial Economics 20 (2010) 23, pp. 1769-1792
We analyse the crisis experienced by General Motors (GM) and Ford following the downgrading of their credit ratings in May 2005 and its impact on the financial markets. At that time, the Credit Default Swap (CDS) premia of GM and Ford sharply increased; all other CDS premia also rose markedly, but...
