Relying on a perspective borrowed from monetary policy announcements and introducing an econometric twist in the traditional event study analysis, we document existence of “event risk transfer”, namely significant credit transmission sovereign to corporate sector after rating downgrade. We find that delivery downgrade, CDS spreads rise by 36% per annum there is widespread contagion across count...

Dismemberment of the preglacial Teays Valley system and development of the present Ohio River valley began in late Tertiary or early Pleistocene. By Illinoian time the present Ohio River was largely established in its present course, except for its headwaters above mile 114, which still flowed northward. The Illinoian glacial advance into northwestern Pennsylvania caused diversion of this porti...

The reader-writer problem [1] seeks to provide a lock that protects some critical section of code for two classes of processes: readers and writers. Multiple readers can have access to the critical section simultaneously, but only one writer can have access to the critical section to the exclusion of all other processes. The difficulties in solving the reader-writer problem lie not only in deve...

Service memberships are commonly used to support consumer relationships, yet the mechanisms for consumers’ membership decisions are poorly understood. This paper develops a model of consumers’ decision to modify (upgrade or downgrade) a service membership conditional on their decision to renew. Bridging insights from relationship marketing and consumer behavior, the proposed model conceptualize...

In credit modeling, default intensity is known to depend on rating history-specific factors, notably credit rating, but variation in aggregate default rates over time presumably also reflects changes in general economic conditions. We fit Cox intensity models for defaults, as well as for major upgrades and downgrades in credit rating, with both rating history-specific factors and a broad range ...

Rating agencies are often criticized for being biased in favor of borrowers, for being too slow to downgrade following credit quality deterioration, and for being oligopolists. Based on a model that takes into account the feedback effects of credit ratings, I show that: (i) rating agencies should focus not only on the accuracy of their ratings but also on the effects of their ratings on the pro...

Informational Efficiency of Credit Default Swap and Stock Markets: The Impact of Credit Rating Announcements This Paper analyses the response of stock and credit default swap (CDS) markets to rating announcements by the three major rating agencies during 2000-2. Applying event study methodology, we examine whether and how strongly these markets respond to rating announcements in terms of abnorm...