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Impact of sovereign credit risk on the Lithuanian interest rate on loans

Kregždė, Arvydas; Murauskas, Gediminas - In: Mokslo darbai / Ekonomika 94 (2015) 2, pp. 113-128

Persistent link: https://www.econbiz.de/10011625192

Impact of multiple CDO ratings on credit spreads

Morkoetter, Stefan; Westerfeld, Simone - In: The journal of fixed income 19 (2009/10) 1, pp. 55-72

Persistent link: https://www.econbiz.de/10003875980

Inferring default probabilities from credit spreads

Benzschawel, Terry; Assing, Andrew - In: The journal of fixed income 21 (2012) 4, pp. 13-24

Persistent link: https://www.econbiz.de/10009670765

Are credit rating announcements contagious? : evidence on the transmission of information across industries in credit default swap markets

Cizel, Janko - In: The journal of fixed income 23 (2013) 2, pp. 27-60

Persistent link: https://www.econbiz.de/10010196997

Sovereign credit ratings, the macroeconomy and credit default swap spreads

Liu, Yang; Morley, Bruce - In: Brussels economic review 56 (2013) 3/4, pp. 335-348

Persistent link: https://www.econbiz.de/10010399098

Are Credit Rating Announcements Contagious? Evidence on the Transmission of Information Across Industries in Credit Default Swap Markets

Cizel, Janko - 2019

The aim of this paper is to empirically test for the presence of intra-industry informational transfers (IIIT) induced by rating signals in the markets for corporate credit risk. In particular, we study the intra-industry CDS spread responses to credit rating announcements made by S&P, Moody's,...

Persistent link: https://www.econbiz.de/10012905545

Do sovereign ratings cause instability in cross-border emerging CDS markets?

Ballester, Laura; González-Urteaga, Ana - In: International review of economics & finance : IREF 72 (2021), pp. 643-663

Persistent link: https://www.econbiz.de/10012672072

Market price effects of agency sovereign debt announcements : importance of prior credit states

Binici, Mahir; Hutchison, Michael M.; Miao, Evan Weicheng - In: International review of economics & finance : IREF 69 (2020), pp. 769-787

Persistent link: https://www.econbiz.de/10012487452

Corporate credit risk premia

Berndt, Antje; Douglas, Rohan; Duffie, Darrell; … - In: Review of finance : journal of the European Finance … 22 (2018) 2, pp. 419-454

Persistent link: https://www.econbiz.de/10011990801

Do credit rating agencies provide valuable information in market evaluation of sovereign default risk?

Binici, Mahir; Hutchison, Michael M. - In: Journal of international money and finance 85 (2018), pp. 58-75

Persistent link: https://www.econbiz.de/10012000388

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