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  1. It's not time to make a change
    sovereign fragility and the corporate credit risk
    Autor*in: Fornari, Fabio; Zaghini, Andrea
    Erschienen: [2021]
    Verlag:  Center for Financial Studies, Goethe University, Frankfurt am Main, Germany

    Relying on a perspective borrowed from monetary policy announcements and introducing an econometric twist in the traditional event study analysis, we doc- ument the existence of an “event risk transfer”, namely a significant credit risk transmission... mehr

    Zugang:
    Verlag (kostenfrei)
    Resolving-System (kostenfrei)
    Resolving-System (kostenfrei)
    Resolving-System (kostenfrei)

    Standort:
    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
    Fernleihe:
    keine Fernleihe

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 108
    Fernleihe:
    keine Fernleihe

     

    Relying on a perspective borrowed from monetary policy announcements and introducing an econometric twist in the traditional event study analysis, we doc- ument the existence of an “event risk transfer”, namely a significant credit risk transmission from the sovereign to the corporate sector after a sovereign rating downgrade. We find that after the delivery of the downgrade, corporate CDS spreads rise by 36% per annum and there is a widespread contagion across coun- tries, in particular among those which were most exposed to the sovereign debt crisis. This effect exists on top of the standard relation between sovereign and corporate credit risk.

     
    Export in Literaturverwaltung   RIS-Format
      BibTeX-Format
    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    hdl: 10419/231292
    Schriftenreihe: CFS working paper series ; no. 652
    Schlagworte: sovereign rating; corporate credit risk; CDS spreads
    Umfang: 1 Online-Ressource (circa 45 Seiten)
  2. It's not time to make a change
    sovereign fragility and the corporate credit risk
    Autor*in: Fornari, Fabio; Zaghini, Andrea
    Erschienen: [2022]
    Verlag:  European Central Bank, Frankfurt am Main, Germany

    Relying on a perspective borrowed from monetary policy announcements and introducing an econometric twist in the traditional event study analysis, we document the existence of an "event risk transfer", namely a significant credit risk transmission... mehr

    Zugang:
    Verlag (kostenfrei)
    Resolving-System (kostenfrei)
    Resolving-System (kostenfrei)

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 534
    Fernleihe:
    keine Fernleihe

     

    Relying on a perspective borrowed from monetary policy announcements and introducing an econometric twist in the traditional event study analysis, we document the existence of an "event risk transfer", namely a significant credit risk transmission from the sovereign to the corporate sector after a sovereign rating downgrade. We find that after the delivery of the downgrade, corporate CDS spreads rise by 36% per annum and there is a widespread contagion across countries, in particular among those which were most exposed to the sovereign debt crisis. This effect exists on top of the standard relation between sovereign and corporate credit risk.

     
    Export in Literaturverwaltung   RIS-Format
      BibTeX-Format
    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Ebook
    Format: Online
    ISBN: 9789289953887
    Weitere Identifier:
    hdl: 10419/269147
    Schriftenreihe: Working paper series / European Central Bank ; no 2740 (October 2022)
    Schlagworte: Credit Default Swaps; Credit Rating; Sovereign Risk Spillover
    Umfang: 1 Online-Ressource (circa 48 Seiten), Illustrationen