Debt rating downgrades of financial institutions: causality tests on single-issue CDS and iTraxx (Q5120730)
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scientific article; zbMATH DE number 7247987
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| English | Debt rating downgrades of financial institutions: causality tests on single-issue CDS and iTraxx |
scientific article; zbMATH DE number 7247987 |
Statements
Debt rating downgrades of financial institutions: causality tests on single-issue CDS and iTraxx (English)
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16 September 2020
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credit default swaps
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iTraxx index
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Granger causality
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rating downgrades
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0.7562240958213806
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0.713952362537384
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0.6932857632637024
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0.6857193112373352
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