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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...
| Autores principales: | , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
Elsevier Inc.
2021
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| Materias: | |
| 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 |