This paper examines the size and power of test statistics designed to detect abnormal
changes in credit risk as measured by credit default swap (CDS) spreads. We follow a …

The purpose of this paper is to propose a methodology that allies both theoretical and
empirical aspects to model and solve the problem of finding the optimal market-based …

This paper examines the size and power of test statistics designed to detect abnormal
changes in credit risk as measured by credit default swap (CDS) spreads. We follow a …

CDS-based implied probability of default estimation | Emerald Insight Books and journals
Case studies Expert Briefings Open Access Publish with us Advanced search CDS-based …

Credit risk signals in CDS market vs agency ratings | Emerald Insight Books and journals
Case studies Expert Briefings Open Access Advanced search Credit risk signals in CDS …

We examine the information transfer effect of bond-rating adjustments on industry rivals. Our
research is based on the premise that the transfer effect is influenced by the rated status of …

We review the empirical academic literature on the informational content of credit default
swap (“CDS”) spreads. Most of this literature posits and empirically documents that CDS …

For the euro debt crisis, we assess the relevance of financial contagion from an investor
perspective. We find that contagion, which we identify through the joint occurrence of …

This study examines the effect of the informational content of local credit rating
announcements in emerging markets on the liquidity of their bond markets. We analyze the …

Credit rating is a traditional measurement of credit risk in financial markets. This paper
introduces an innovative approach based on implied ratings defined by CDS spreads. Using …