- Tytuł:
- INFORMATION VALUE OF THE CREDIT RATING ON THE CREDIT DEFAULT SWAPS MARKET
- Autorzy:
- Chodnicka-Jaworska, Patrycja
- Powiązania:
- https://bibliotekanauki.pl/articles/453497.pdf
- Data publikacji:
- 2017
- Wydawca:
- Szkoła Główna Gospodarstwa Wiejskiego w Warszawie. Katedra Ekonometrii i Statystyki
- Tematy:
-
credit rating
credit derivatives swap
abnormal rates of return - Opis:
- The paper examines the impact of the countries’credit ratings changes on the cost of credit defaults swaps premium. It is assumed statistical significance abnormal returns due to changes in credit ratings assigned by the agencies. It is has been put the hipothesis that ratings events convey new information and lead to significant abnormal reactions. The study used the ratings assigned by Standard &Poor's and Moody's for the period from January 2005 to November 2015 and spreads for five-year senior unsecured CDS. To verify the hypothesis the event study method (by daily data) is applied.
- Źródło:
-
Metody Ilościowe w Badaniach Ekonomicznych; 2017, 18, 3; 418-428
2082-792X - Pojawia się w:
- Metody Ilościowe w Badaniach Ekonomicznych
- Dostawca treści:
- Biblioteka Nauki
Artykuł