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The dynamics of rating based credit benchmark curves

Heidorn, Thomas; Schlamann, Sara - 2022

The paper models and analyses the dynamics of credit spread curves based on ratings over the period from 2004 to 2021. Using more than 1.5 million data points of individual bonds, instead of using index data, monthly asset swap spread (ASW) curves are constructed for all rating levels. The paper...

Persistent link: https://www.econbiz.de/10013207136

The price of haircuts : private and official default

Marchesi, Silvia; Masi, Tania - 2020

Persistent link: https://www.econbiz.de/10012176633

The price of haircuts : private and official default

Marchesi, Silvia; Masi, Tania; Bomprezzi, Pietro - 2021

Persistent link: https://www.econbiz.de/10012873363

Is to forgive to forget? : sovereign risk in the aftermath of a default

Marchesi, Silvia; Masi, Tania; Bomprezzi, Pietro - 2021

Persistent link: https://www.econbiz.de/10012696055

Who speaks louder, financial instruments or credit rating agencies? : analyzing the effects of different sovereign risk measures on interest rates in Brazil

Montes, Gabriel Caldas; Maia, João Pedro Neves - In: The North American journal of economics and finance : a … 67 (2023), pp. 1-23

Persistent link: https://www.econbiz.de/10014484007

Impact of credit quality on credit spread of Green Bonds : a global evidence

Colombage, Sisira; Nanayakkara, K. G. M. - In: Review of development finance 10 (2020) 1, pp. 31-42

Persistent link: https://www.econbiz.de/10012437855

The differential impact of political risk factors on emerging market bond spreads and credit rating outlooks

Sonenshine, Ralph; Kumari, Sapna - In: Journal of economics & business 120 (2022), pp. 1-13

Persistent link: https://www.econbiz.de/10013439864

Economic uncertainty and credit risk : evidence from international corporate bonds

Valenzuela, Patricio; Mella, Javier; Claveria, Juan - In: Economics letters 237 (2024), pp. 1-4

Persistent link: https://www.econbiz.de/10015073923

Rating agency adjustments to GAAP financial statements and their effect on ratings and credit spreads

Kraft, Pepa - In: The accounting review : a publication of the American … 90 (2015) 2, pp. 641-674

Persistent link: https://www.econbiz.de/10010517088

How can government support affect behaviors of investors and rating agencies in a corporate bond market? : evidence from China's corporate bond market

Huang, Bo; Chen, Liqing; He, Lin - In: Emerging markets, finance & trade : a journal of the … 56 (2020) 3, pp. 485-507

Persistent link: https://www.econbiz.de/10012211474

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