Sovereign credit ratings, emerging market risk and financial market volatility
نویسندگان
چکیده
منابع مشابه
Sovereign credit ratings, market volatility, and financial gains
The reaction of EU bond and equity market volatilities to sovereign rating announcements (Standard & Poor’s, Moody’s, and Fitch) is investigated using a panel of daily stock market and sovereign bond returns. The parametric volatilities are defined using EGARCH specifications. The estimation results show that upgrades do not have significant effects on volatility, but downgrades increase stock ...
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We present a methodology for rating the creditworthiness of public companies in the U.S. from the prices of traded assets. Our approach uses asset pricing data to impute a term structure of risk neutral survival functions or default probabilities. Firms are then clustered into ratings categories based on their survival functions using a functional clustering algorithm. This allows all public fi...
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Rating agencies provide opinions on the creditworthiness of companies and debt instruments, and so reduce lenders’ information gathering costs. Their ratings are especially useful in distinguishing the relative riskiness of different borrowers. Empirical evidence suggests that rating agencies rank the riskiness of borrowers well: realised default rates are consistently higher for lower rating g...
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ژورنال
عنوان ژورنال: Intereconomics
سال: 1998
ISSN: 0020-5346,1613-964X
DOI: 10.1007/bf02929503