Debt rating downgrades of financial institutions: causality tests on single-issue CDS and iTraxx

DOI10.1080/14697688.2019.1619933MaRDI QIDQ5120730zbMATH OpenOpenAlexWikidataFDO

Authors Olivier Nataf, Lieven de Moor

Publication date 16 September 2020

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://biblio.vub.ac.be/vubirfiles/75849032/Debt_rating_downgrades_of_financial_institutions_Nataf_De_Moor.pdf

zbMATH Keywords

credit default swapsGranger causalityiTraxx indexrating downgrades

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

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Cites work

• Granger-causality in cointegrated VAR processes. The case of the term structure

Cited in

(7)

• Identify the characteristic in the evolution of the causality between the gold and dollar
• The effects of credit rating announcements on bond liquidity: an event study
• The effect of credit rating events on the emerging CDS market
• Estimation of distress costs associated with downgrades using regime-switching models
• Do credit default swaps mitigate the impact of credit rating downgrades?
• The impact of a rating agency's private information and disclosed causes of rating downgrades on insurer stock returns
• A novel deep learning approach to enhance creditworthiness evaluation and ethical lending practices in the economy

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