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The effect of countries' credit ratings on credit default swap spreads

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dc.abstract.enThis paper investigates the relationship between credit spreads and credit default swap (CDS) spreads, and how these respond to changes in credit ratings. It is based on the analysis and a review of the existing world literature addressing this subject. Panel data models for 35 European countries for the period 2005–2013 were used. The independent variables used in countries’ long- and short-term credit ratings were awarded by the rating agencies Standard & Poor’s and Moody’s Investor Service. Credit ratings were converted linearly to the numeric variables. The paper examines the impact of countries’ credit ratings on the value of their CDS. The analysis was performed taking into account the level of investment and speculative group of risk.
dc.affiliationUniwersytet Warszawski
dc.contributor.authorCHODNICKA-JAWORSKA, PATRYCJA
dc.date.accessioned2024-01-28T12:00:49Z
dc.date.available2024-01-28T12:00:49Z
dc.date.issued2017
dc.description.financeNie dotyczy
dc.identifier.urihttps://repozytorium.uw.edu.pl//handle/item/137222
dc.identifier.weblinkhttps://link.springer.com/chapter/10.1007/978-3-319-30877-7_3
dc.languageeng
dc.pbn.affiliationeconomics and finance
dc.publisher.ministerialSpringer
dc.relation.bookRisk Management in Public Administration
dc.relation.pages71-92
dc.rightsClosedAccess
dc.sciencecloudnosend
dc.subject.enCredit risk
dc.subject.enCredit default swaps
dc.subject.enCredit rating
dc.titleThe effect of countries' credit ratings on credit default swap spreads
dc.typeMonographChapter
dspace.entity.typePublication