Debt rating downgrades of financial institutions : causality tests on single-issue CDS and iTraxx
Olivier Nataf and Lieven De Moor
| Year of publication: |
2019
|
|---|---|
| Authors: | Nataf, Olivier ; Moor, Lieven de |
| Subject: | Credit default swaps | Granger causality | iTraxx index | Rating downgrades | Kreditderivat | Credit derivative | Kausalanalyse | Causality analysis | Kreditrisiko | Credit risk | Kreditwürdigkeit | Credit rating | Bewertung | Evaluation | Schätzung | Estimation |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2019.1619933 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015123061