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2018 | 2 | 171-182
Article title

Credit rating a ryzyko kredytowe emitenta

Content
Title variants
Languages of publication
EN
Abstracts
EN
The purpose of this paper is to analyse the impact of country's credit rating on issuers' credit risk measured by the difference between bond yields and IRS spreads. Based on literature review, the following hypothesis has been proposed: the decrease and increase of credit ratings have a statistically significant impact on the issuers' credit risk. The study was conducted using event study methodology, Thomson Reuters Database data for the period 1990-2016 and S&P, Fitch and Moody foreign long-term issuer credit ratings. Ten-year treasury bonds and IRS spreads were used to verify the hypothesis.
Keywords
Year
Issue
2
Pages
171-182
Physical description
Contributors
  • University of Warsaw
  • University of Warsaw
References
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Document Type
Publication order reference
Identifiers
YADDA identifier
bwmeta1.element.desklight-4077999a-744b-4ce5-b8e2-698e5980cb7e
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