학회소식
[2016년 제 4차] Revaluating firm credit risk - The impact of
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2016-12-21
This paper analyzes the CDS spread development during the time a firm’s credit rating is under review. We test whether rating agencies take on a monitoring type role with regard to firms’ credit risk, thereby offering significant benefits and new information to market participants during the rating review process. We document that reviews for downgrade, which eventually result in a downgrade, lead to CDS spread increases during the time the rating is on review, whereas rating affirmations lead to a sustained reduction in spread levels. These results underline the importance of monitoring by rating agencies for credit risk valuations.
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