...Olivier Nataf; Lieven De Moor Purpose This paper aims to assess the consequences of credit risk downgrades on credit default swaps (hereafter CDS) written on financial companies from two different perspectives, namely the overall stress level observed on the market and the rating agency performing...

...Amira Abid; Fathi Abid; Bilel Kaffel Purpose This study aims to shed more light on the relationship between probability of default, investment horizons and rating classes to make decision-making processes more efficient. Design/methodology/approach Based on credit default swaps (CDS) spreads...

...Michael Jacobs Jr; Ahmet K. Karagozoglu; Dina Naples Layish Purpose This research aims to model the relationship between the credit risk signals in the credit default swap (CDS) market and agency credit ratings, and determines the factors that help explain the variation in such signals. Design...