Essays about: "credit ratings announcements"

Showing result 6 - 10 of 12 essays containing the words credit ratings announcements.

  1. 6. The impact of Credit Rating Announcements on Credit Default Swap Spreads - An empirical study of the North American Credit Default Swap Market before, during and after the global financial crisis of 2008-2009

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Andreas Luczak; Laurynas Ruzgas; [2015]
    Keywords : credit rating announcements; credit default swap spread; CDS spreads; event study; Moody’s; credit rating agencies; financial crisis; recession; Business and Economics;

    Abstract : A Credit Default Swap spread is a reliable measure of credit risk as it is the compensation demanded by a party to bear this risk. Officially, credit risk is denoted as credit ratings announced by credit rating agencies. READ MORE

  3. 7. The effect of credit rating announcements on CDS spreads - an empirical study of the European, American and Asian-Pacific CDS markets

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Dominika Krygier; [2013]
    Keywords : Credit rating; credit default swap spread; credit risk; event study; Moody’s; Business and Economics;

    Abstract : Credit default swap spreads and credit ratings are two indicators and measures of credit risk. A credit default swap is a type of financial derivative that protects the holder from any losses incurred by the reference entity in the case of a negative credit event, in return for an annual premium, the spread. READ MORE

  4. 8. The Effect of Credit Rating Actions on European Government Bonds

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Mirco Bulega; [2013]
    Keywords : credit ratings announcements; sovereign debt crisis; European government bonds; slope of the sovereign yield curve; abnormal returns;

    Abstract : This thesis examines the effect of credit rating announcements released by the three major rating agencies (Fitch, Moody's, and Standard & Poor's) on European government bonds from 17/01/1991 until 05/04/2013, by looking at one key area, and three interrelated topics. Firstly, I evaluate the impact of credit rating announcements on European government bond returns. READ MORE

  5. 9. Determinants of forex market movements during the European sovereign debt crisis: The role of credit rating agencies.

    University essay from IHH, Economics, Finance and Statistics

    Author : Marharyta Karpava; [2012]
    Keywords : credit rating; sovereign debt crisis; euro depreciation; event study;

    Abstract : The purpose of this thesis is to identify key factors underlying exchange rate developments during the European sovereign debt crisis by examining the impact of credit rating news, published by the three leading credit rating agencies, on conditional returns and volatility of EUR/USD (direct quotation) exchange rate. Empirical results highlight the importance of interest rate differential and volatility index of options exchange in explaining EUR/USD exchange rate volatilities. READ MORE

  6. 10. The Impacts of Sovereign Credit Ratings on Exchange Rates-Evidence from Eurozone Sovereign Debt Crisis

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Jian Yang; Lei Zhang; [2011]
    Keywords : Sovereign credit rating; Exchange rate; Eurozone sovereign debt crisis; Business and Economics;

    Abstract : This paper examines the impacts of Eurozone sovereign credit rating announcements by three leading rating agencies on exchange rates from January 1, 2009 to March 31, 2011. Firstly we report the mean and volatility of USD/EUR in response to Eurozone sovereign rating news. READ MORE