Empirical research on corporate credit-ratings: A literature review
AB Matthies - 2013 - econstor.eu
We report on the current state and important older findings of empirical studies on corporate
credit ratings and their relationship to ratings of other entities. Specifically, we consider the …
credit ratings and their relationship to ratings of other entities. Specifically, we consider the …
Dependence in credit default swap and equity markets: Dynamic copula with Markov-switching
F Fei, AM Fuertes, E Kalotychou - International Journal of Forecasting, 2017 - Elsevier
Theoretical credit risk models à la Merton (1974) predict a non-linear negative link between
the default likelihood and asset value of a firm. This motivates us to propose a flexible …
the default likelihood and asset value of a firm. This motivates us to propose a flexible …
Dealing with dealers: Sovereign CDS comovements
M Antón, S Mayordomo… - Journal of Banking & …, 2018 - Elsevier
We show that sovereign CDS that have common dealers tend to be more correlated,
especially when the dealers display similar quoting activity in those contracts over time. This …
especially when the dealers display similar quoting activity in those contracts over time. This …
CDS Investors' Risk Perceptions of M&A Announcements
B Hippert, A Uhde - Available at SSRN 3822523, 2021 - papers.ssrn.com
Merging a sample of 492 merger and acquisition (M&A) announcements from 284 acquiring
firms across Europe and North America with data from 5-year single-name credit default …
firms across Europe and North America with data from 5-year single-name credit default …
[PDF][PDF] Credit rating changes and stock market reaction in the Kingdom of Bahrain
MM Abdeldayem, R Nekhili - International Journal of Economics …, 2016 - researchgate.net
Between 2014 and 2015, the oil price almost halved. Since then, it has fallen a further 40%.
Consequently, Moody's Investors Service has downgraded Bahrain's long-term issuer rating …
Consequently, Moody's Investors Service has downgraded Bahrain's long-term issuer rating …
[PDF][PDF] The credit rating crisis and the informational content of corporate credit ratings
There has been much scrutiny of the Credit Rating Agencies'(CRAs) flawed ratings of
structured products in the build-up to the financial crisis. Our study examines whether the …
structured products in the build-up to the financial crisis. Our study examines whether the …
[BOOK][B] A note on credit derivatives and M&A transactions: Announcement and anticipation effects
M Hraschek, M Mietzner, M Tyrell - 2017 - virtusinterpress.org
This paper analyses CDS and equity markets dynamics of acquiring companies, to explore
whether those parties that are involved in M&A transactions are using their access to …
whether those parties that are involved in M&A transactions are using their access to …
[PDF][PDF] No. 70/June 2022
B Hippert, A Uhde - en.wiwi.uni-paderborn.de
This paper empirically investigates determinants of the outstanding net notional amount of
credit default swaps (CDSs) contracts written on banks. We extend and complement the …
credit default swaps (CDSs) contracts written on banks. We extend and complement the …
[PDF][PDF] Impact of Corporate Governance on Credit Rating, Comperative study of Financial and Non Financial Sector of Pakistan
M Zeeshan - Int. Lett. Soc. Humanist. Sci, 2017 - cust-library.azurewebsites.net
This study is aimed to investigate impact of corporate governance on credit rating in
Pakistani firms. Empirical analyses are conducted on a sample of 32 Companies which …
Pakistani firms. Empirical analyses are conducted on a sample of 32 Companies which …
Empirical Research on Corporate Credit-Ratings
AB Matthies - 2013 - edoc.hu-berlin.de
We report on the current state and important older findings of empirical studies on corporate
credit ratings and their relationship to ratings of other entities. Specifically, we consider the …
credit ratings and their relationship to ratings of other entities. Specifically, we consider the …