The effect of credit rating events on the emerging CDS market

DOI10.1007/978-3-319-50234-2_2zbMATH Open1383.62231OpenAlexW2776262492MaRDI QIDQ4609744FDOQ4609744

Authors: Laura Ballester, Ana González-Urteaga 

Publication date: 26 March 2018

Published in: Mathematical and Statistical Methods for Actuarial Sciences and Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-50234-2_2

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zbMATH Keywords

credit rating events

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Credit risk (91G40)

Cited In (4)

• Do credit default swaps mitigate the impact of credit rating downgrades?
• Sovereign credit ratings, market volatility, and financial gains
• Debt rating downgrades of financial institutions: causality tests on single-issue CDS and iTraxx
• Extracting the sovereigns' CDS market hierarchy: a correlation-filtering approach

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