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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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