Any additional rating reveals incremental information to the market and increases transparency with regard to the underlying portfolio's credit risk. However, the study does not find empirical support for the hypothesis that marginal tranche spread reduction decreases when additional rating ......
Based on historical documentary research, we analyze some of the main milestones and regulatory events in the field of CRAs. This research reaffirms the assumption that even after credibility crises, the State is the most significant predictor of legitimacy, power, and influence that CRAs hold to...
on the yield curve of bank bonds.The yield to maturity of 1 year of bank bond is measured by the yield to maturity of T years minus the term structure premium of T—1 years.The calculation models of credit spread and default probabilities of commercial banks are established based on term ...
Each type of credit spread offers valuable insights into the credit risk and compensation associated with different bonds or securities. Investors can choose the most suitable type(s) of credit spread based on their investment objectives, risk tolerance, and the specific characteristics of the securiti...
Credit Spread Changes and Monetary Policy Surprises: The Evidence from the Fed Funds Futures Market This study analyzes the impact of monetary policy actions on credit spreads of various rating categories and maturities, using federal funds futures to dis... Xiaoneng,Zhu - 《Journal of Futures Mar...
The term structure premium of T−1 years is measured by the difference between yields to maturity of T years and 1 year on the yield curve of corporate bonds with the same credit rating. The credit spread is measured by the yield to maturity of corporate bond of T years minus the term...
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The prices of or spread on credit default swaps (CDS) theoretically represent the pure credit risk of a firm. Callen, Livnat and Segal (2007) note that although the CDS premium is related to credit ratings issued by the rating agencies, rather wide variation in CDS spreads are observed for...
Credit-Rating Agencies Credit-Rating Agency Credit-Ratings Agencies Credit-Ratings Agency credit-reference agency Credit-spread Credit-Tenant Lease credit-worthy Credit/Debit Vendor creditability creditable creditable creditable creditable Creditable Withholding Tax ...
The relationship between credit default swap spreads, bond yields, and credit rating announcements A company's credit default swap spread is the cost per annum for protection against a default by the company. In this paper we analyze data on credit defau... John,Hull,Mirela,... - 《Journal...