Sovereign Risk and CDS. The Case of Romania
Sovereign Risk and CDS. The Case of Romania

Summary/Abstract: The objective of this paper is to study the relationship between changing sovereign risk rating given by credit rating agencies for Romania and CDS of this borrower on the international capital market. For this purpose was used event study methodology type, the event is changing the qualifier sovereign risk by Fitch ratings over the period June 2008 - August 2011. Two events are considered, one of worsening sovereign risk qualifier another one of the improvement. In case of increased risk, the main conclusion is that CDS continues moving after the announcement in the direction triggered before the event. If case of risk reduction, the market anticipated positive change of sovereign rating, the reaction is strong on the day the notice of the event and favorable effect remains in the window + 20 days.Sovereign risk rating; CDS; Rating agencies;Economic crisis;

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