1. Credit Rating: The credit rating of an issuer assigned by rating agencies, such as Moody’s, Standard & Poor’s, and Fitch, is a significant factor in determining credit spreads. Higher-rated issuers with strong creditworthiness tend to have narrower credit spreads, reflecting lower perceived...
Credit Spreads, Rating Downgrades, and Downside Performance: A Market-Informed Approach to Monitoring Credit Riskdoi:10.2139/ssrn.3561260Corporate BondsFixed IncomeCredit SpreadsThis paper studies the differential credit risks embedded in the cross-section of credit spreads. Using corporate bond data from...
This study analyzes the impact of monetary policy actions on credit spreads of various rating categories and maturities, using federal funds futures to dis... X Zhu - 《Journal of Futures Markets》 被引量: 147发表: 2013年 Credit Risk and Business Cycles The model implied credit spreads are co...
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 firms having a given rating. Following the recent subprime debacle, rating agencies have come under much scrutiny...
The Siskel and Ebert of Financial Markets: Two Thumbs Down for the Credit Rating Agencies The relationship between credit default swap spreads, bond yields, and credit rating announcements Informational efficiency of credit default swap and stock markets: The impact of credit rating announcements ...
五、Interpreting Changes in Credit Spreads 1、债券收益率的组成部分 benchmark yield,反映了宏观经济因素,影响所有债券 spread yield,反映了微观经济因素,与公司发行人和特定问题有关 六、The term Structure of Credit Spreads 信用利差的期限结构是发行人、承销商和投资者衡量单个发行人或一组发行人的风险回报的重要...
Profitability and state-ownership are weighed more positively by global rating agencies. The influence of the variables is generally stable across a variety of robustness checks. In spite of these differences, both domestic and global ratings appear to be priced into the market values of rated ...
Finally, in Chapter 4, I go on to explore the complete time-series and cross-sectional interaction of the credit rating process on CDS spreads. In doing so, I identify that prior to the crisis, credit rating agencies played a much greater role in the price discovery process of corporate ...
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We first examine the relationship between credit default spreads and bond yields and reach conclusions on the benchmark risk-free rate used by participants in the credit derivatives market. We then carry out a series of tests to explore the extent to which credit rating announcements by Moody's...