Rating agency adjustments to GAAP financial statements and their effect on ratings and credit spreads I examine a dataset of both quantitative (hard) adjustments to firms' reported U.S. GAAP financial statement numbers and qualitative (soft) adjustments to ......
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... J Hull,M Predescu,A White - 《...
White, 2004, "The Relationship Between Credit Default Swap Spreads, Bond Yields, and Credit Rating Announcements," Journal of Banking and Finance, forthcoming.Hull, J., Predescu, M., & White, A. (2004). The relationship between credit default swap spreads, bond yields, and credit rating ...
In this paper, following a market based approach, we calibrate an Implied Rating model on Credit Default Swap market spreads. The non parametric mapping of Implied Ratings is calibrated on a large data set of Credit Default Swap quotes that includes the years of financial turmoils. This allows...
Notice that residual spreads are sensible to dynamics of default barrier, depending to the drift and the volatility of firm's assets values, and rating. [ABSTRACT FROM AUTHOR] 展开 关键词: credit spread default spread firms' asset value stochastic default barrier Structural approach ...
Using data consisting of Credit Default Swap (CDS) spreads, this study examines CDS spreads for nearly all European countries surrounding the August 5th, 2011 sovereign credit rating downgrade of the United States. While U.S. CDS spreads remained at relatively normal levels, we find a surge in...
ahead. In the 12 months ended September 2024, speculative-grade credit quality continued to marginally improve. Net rating actions stayed positive, with a negative net bias that implies more downgrades ahead, but this measure is still at its ...
Market data such as equity time series and credit risk spreads are used in conjunction with nonmarket data (e.g., balance sheet indices, credit bureau information, and the bank’s internal data). From a statistical point of view, a series of techniques have been scrutinized and adopted to ...
S. Forte et al. Credit spreads: an empirical analysis on the informational content of stocks, bonds, and CDS J. Bank. Financ. (2009) J. Hull et al. The relationship between credit default swap spreads, bond yields, and credit rating announcements J. Bank. Financ. (2004) P. Jorion et...
In another exercise, we simulate from a structural model with stochastic volatility and find that VRP can indeed provide additional explanatory power for a representative firm’s credit spreads, even with the control of a true leverage ratio. On the contrary, the Merton model without stochastic ...