Full-text resources of CEJSH and other databases are now available in the new Library of Science.
Visit https://bibliotekanauki.pl

Results found: 1

first rewind previous Page / 1 next fast forward last

Search results

Search:
in the keywords:  credit derivatives swap
help Sort By:

help Limit search:
first rewind previous Page / 1 next fast forward last
1
Publication available in full text mode
Content available

INFORMATION VALUE OF THE CREDIT RATING ON THE CREDIT DEFAULT SWAPS MARKET

100%
Chodnicka-Jaworska P.
Metody Ilościowe w Badaniach Ekonomicznych
|
2017
|
vol. 18
|
issue 3
418-428
EN
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.
first rewind previous Page / 1 next fast forward last
JavaScript is turned off in your web browser. Turn it on to take full advantage of this site, then refresh the page.