By providing credit risk information, credit rating systems benefit most participants in financial markets, including issuers, investors, market regulators and intermediaries. In this paper, we propose an automatic classification model for issuer credit ratings, a type of fundamental credit rating information, by applying the support vector machine (SVM) method. This is a novel classification a...

We investigate the term structure of credit spreads and credit default swaps for different rating categories. It is well-known quite that for issuers with lower credit quality higher spreads can be observed in the market and vice versa. However, empirical results on spreads for bonds with the same rating but different maturities are rather controversial. We provide empirical results on the term...

Using monthly and multi-day return windows, research shows that credit rating downgrades often reveal new information lead to significant stock price reactions but upgrades do not. intraday data, we revisit these findings extend them by examining the possibility of informed trading ahead announcement changes. Credit agencies delay public announcements changes provide issuers with time review re...