Rating Announcements, CDS Spread and Volatility During the European Sovereign Crisis

This paper analyzes the evolution of CDS spread and CDS volatility around European sovereign rating announcements over the period 2008–13. We show that the effect of the announcement differs depending on the credit quality of the issuer (Investment Grade versus Speculative). The downgrading and nega...

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Detalles Bibliográficos
Autores principales: Raimbourg, Philippe, Salvadè, Federica
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Elsevier Inc. 2021
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7311340/
https://www.ncbi.nlm.nih.gov/pubmed/32837372
http://dx.doi.org/10.1016/j.frl.2020.101663

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7311340/
https://www.ncbi.nlm.nih.gov/pubmed/32837372
http://dx.doi.org/10.1016/j.frl.2020.101663

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