CDS spreads reflect expected credit risk, but there is no evidence on how corporate CDS spreads change when uncertainty about changes in corporate credit risk ...
We show that CDS spreads accurately anticipate changes in corporate credit risk that are only later reflected by the outcomes of the rating review process and ...
Apr 5, 2016 · CDS spreads contain information about expected credit risk, but how accurate is this information when uncertainty about credit risk arises?
"To change or not to change? The CDS market response of firms on credit watch," Publications of Darmstadt Technical University, Institute for Business ...
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To Change or Not to Change? The CDS Market Response of Firms on Credit Watch. Tipo de publicação. Working Papers. Kiesel,F., ...
To change or not to change? The CDS market response of firms on credit watch. Journal of Banking & Finance 125, 10606⒎ [Crossref]. 5⒋ WEI JIANG, JITAO OU ...
The authors find that CDS trading significantly alleviates the damage caused by a credit rating downgrade. Their evidence is consistent across many outcomes:.
CDS. ∆ is the daily change in CDS spreads for firm i at date t, t. INDX. ∆ is the daily change in the rating-based index that corresponds to that firm‟s rating ...
Kiesel, Florian, Kolaric, Sascha, Norden, Lars, and Dirk Schiereck (2021): To change or not to change? The CDS market response of firms on credit watch. Journal ...
3 The rating of issuers placed on review for an upgrade or downgrade is typically changed within weeks of the review. However, issuers need not be on review to ...