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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
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Rating-based CDS curves
Kolokolova, Olga; Lin, Ming-Tsung; Poon, Ser-Huang - In: The European journal of finance 25 (2019) 7, pp. 689-723
Persistent link: https://www.econbiz.de/10012207024
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Regulating a highly concentrated industry : implications from Dodd-Frank
Rieber, Alexander - 2021
Using an international sample of more than 65,000 rating actions by Fitch, Moody's and S&P, we analyze the effect of the Dodd-Frank Act on credit ratings. We document that (i) rating report content changes significantly after Dodd-Frank and (ii) show, by exploiting within firm-quarter variation,...
Persistent link: https://www.econbiz.de/10013336275
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The effect of credit rating events on the emerging CDS market
Ballester, Laura; González-Urteaga, Ana - In: Mathematical and statistical methods for actuarial …, (pp. 17-28). 2017
Persistent link: https://www.econbiz.de/10012098738
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Crise de la dette souveraine dans l'Union européenne : transparence des banques et spreads de CDS
Alexandre, Hervé; Guillemin, François; … - In: Revue économique : revue bimestrielle 67 (2016) 5, pp. 1007-1035
Persistent link: https://www.econbiz.de/10011552773
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The credit-risk relevance of loan impairments under IFRS 9 for CDS pricing : early evidence
Oberson, Romain - In: The European accounting review 30 (2021) 5, pp. 959-987
Persistent link: https://www.econbiz.de/10012653653
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The anatomy of sovereign risk contagion
Wu, Eliza; Erdem, Magdalena; Kalotychou, Elena; … - In: Journal of international money and finance 69 (2016), pp. 264-286
Persistent link: https://www.econbiz.de/10011712035
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Bank credit default swaps and deposit insurance around the world
Liu, Liuling; Zhang, Gaiyan; Fang, Yiwei - In: Journal of international money and finance 69 (2016), pp. 339-363
Persistent link: https://www.econbiz.de/10011712039
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Digital economy era : the role of the telecommunications sector in frequency-dependent default risk connectedness
Shi, Shimeng; Liu, Pei; Xin, Jiayuan - In: Quantitative finance 20 (2020) 12, pp. 2085-2100
Persistent link: https://www.econbiz.de/10012313586
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Spillovers in risk of financial institutions
Cotter, John; Suurlaht, Anita - In: The European journal of finance 25 (2019) 17, pp. 1765-1792
Persistent link: https://www.econbiz.de/10012207148