INFORMATION VALUE OF THE CREDIT RATING ON THE CREDIT DEFAULT SWAPS MARKET
INFORMATION VALUE OF THE CREDIT RATING ON THE CREDIT DEFAULT SWAPS MARKET
Author(s): Patrycja Chodnicka-JaworskaSubject(s): Business Economy / Management
Published by: Szkoła Główna Gospodarstwa Wiejskiego w Warszawie
Keywords: credit rating; credit derivatives swap; abnormal rates of return
Summary/Abstract: The paper examines the impact of the countries’credit ratings changes on the cost of credit defaults swaps premium. It is assumed statistical significance abnormal returns due to changes in credit ratings assigned by the agencies. It is has been put the hipothesis that ratings events convey new information and lead to significant abnormal reactions. The study used the ratings assigned by Standard &Poor's and Moody's for the period from January 2005 to November 2015 and spreads for five-year senior unsecured CDS. To verify the hypothesis the event study method (by daily data) is applied.
Journal: Metody Ilościowe w Badaniach Ekonomicznych
- Issue Year: XVIII/2017
- Issue No: 3
- Page Range: 418-428
- Page Count: 11
- Language: English
