The impact of Credit Rating Announcements on Credit Default Swap Spreads - An empirical study of the North American Credit Default Swap Market before, during and after the global financial crisis of 2008-2009
A Credit Default Swap spread is a reliable measure of credit risk as it is the compensation demanded by a party to bear this risk. Officially, credit risk is denoted as credit ratings announced by credit rating agencies. Since rating announcements contain information regarding credit risk, the market should incorporate this new information into the CDS spread. The aim of this study is to investiga
