In this book, two of America's leading economists provide the first integrated treatment of the
conceptual, practical, and empirical foundations for credit risk pricing and risk measurement …

We use EU sovereign bond yield and CDS spreads daily data to carry out an event study
analysis on the reaction of government yield spreads before and after announcements from …

We show that sovereign debt impairments can have a significant effect on financial markets
and real economies through a credit ratings channel. Specifically, we find that firms reduce …

Abstract Changes in sovereign debt ratings and outlooks affect financial markets in
emerging economies. They affect not only the instrument being rated (bonds) but also …

The most cutting-edge read on the pricing, modeling, and management of credit risk
available The rise of credit risk measurement and the credit derivatives market started in the …

We demonstrate that credit rating agencies aggravated the East Asian crisis. In fact, having
failed to predict the emergence of the crisis, rating agencies became excessively …

We study the effect of a sovereign credit rating change of one country on the sovereign credit
spreads of other countries from 1991 to 2000. We find evidence of spillover effects; that is, a …

This paper examines the effect of sovereign credit rating change announcements on the
CDS spreads of the event countries, and their spillover effects on other emerging …

Although credit rating agencies have gradually moved away from a policy of never rating a
corporation above the sovereign (the 'sovereign ceiling'), it appears that sovereign credit …

This paper develops indices of fiscal transparency for a broad range of countries based on
the IMF's Code of Good Practices on Fiscal Transparency, using data derived from …