The Price Impact of Rating Announcements: Evidence from the Credit Default Swap Market

12 Pages Posted: 7 May 2012 Last revised: 29 Sep 2013

See all articles by Marian Micu

Marian Micu

Swiss Re

Eli M. Remolona

Bank for International Settlements (BIS) - Monetary and Economic Department

Philip D. Wooldridge

Bank for International Settlements (BIS)

Date Written: June 1, 2004

Abstract

Rating announcements affect spreads on credit default swaps. The impact is more pronounced for negative reviews and downgrades than for outlook changes.

JEL Classification: G10, G14

Suggested Citation

Micu, Marian and Remolona, Eli M. and Wooldridge, Philip D., The Price Impact of Rating Announcements: Evidence from the Credit Default Swap Market (June 1, 2004). BIS Quarterly Review, June 2004, Available at SSRN: https://ssrn.com/abstract=1968351

Marian Micu (Contact Author)

Swiss Re ( email )

Mythenquai 50
Zurich, ZH 8022
Switzerland

Eli M. Remolona

Bank for International Settlements (BIS) - Monetary and Economic Department ( email )

IFC 2 Bldg, 78/F
Central
Hong Kong
Hong Kong
+852 2982 7150 (Phone)
+852 2982 7123 (Fax)

Philip D. Wooldridge

Bank for International Settlements (BIS) ( email )

CH-4002 Basel, Basel-Stadt
Switzerland

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