| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5089421 | Journal of Banking & Finance | 2011 | 20 Pages |
Abstract
⺠We document the ability of the CDS to anticipate favorable and unfavorable RC. ⺠Corporate RC upgrades have a significant impact on CDS spreads. ⺠CW and OL lead to significant CARs. ⺠Non-IG CDS contain information on the probability of negative CR. ⺠CDS impact of upgrades is magnified during recessions.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
John D. Finnerty, Cameron D. Miller, Ren-Raw Chen,