1,720,973 research outputs found
The Slope of the Term Structure of Credit Spreads: An Empirical Investigation
No full textIn this paper we analyze the slope of the term structure of credit spreads. We investigate the
explanatory role of interest rate, market and idiosyncratic equity variables, that recent empirical
literature has highlighted as important determinants of credit spread levels. This study extends
the analysis further and assesses their impact on credit slopes. We find that these factors impact
credit spreads at short and long maturities in a significantly different way
Distressed Debt Restructuring in the Presence of Credit Default Swaps
Full text linkThe availability of credit insurance via credit default swaps (CDSs) has been closely associated with the emergence of empty creditors. We empirically investigate this issue by looking at the debt restructurings (distressed exchanges and bankruptcy filings) of rated, non-financial U.S. companies over the period Jan 2007- Jun 2011
Reputational Shocks and the Information Content of Credit Ratings
No full textWe investigate how shocks to the reputation of credit rating agencies and the subsequent introduction of stricter regulation affect investors’ reaction to rating signals. We focus on three major episodes of reputational distress: the Enron/WorldCom scandals, the subprime crisis and the lawsuit against Standard & Poor’s. We document a stronger response of stock investors to downgrades in the aftermath of reputational shocks, which is not, however, accompanied by an improvement in rating quality. Our results are consistent with a scenario where, following evidence of misrating, market investors conclude that ratings are generally overstated and infer greater negative information from downgrades. The effect is stronger for the investment-grade segment, where rating errors have a wider reputational impact. The introduction of new regulatory measures such the SOX Act, the CRA Reform Act and the Dodd-Frank Act, seems instead to improve rating quality and soften investors’ response
Market and Model Credit Default Swap Spreads: Mind the Gap!
No full textStructural models of default establish a relation across the fair values of various asset classes (equity, bonds, credit derivatives) referring to the same company. In most circumstances such relation is verified in practice, as different financial assets tend to move in the same direction at similar speed. However, occasional deviations from the theoretical fair values occur, especially in times of financial turmoil. Understanding how the dynamics of the theoretical fair values of various assets compares to that of their market values is crucial to a number of market participants. This paper investigates whether a popular structural model, the CreditGrades approach proposed by Finger (2002), Stamicar and Finger (2005), succeeds in explaining the dynamic relation between equity / option variables and Credit Default Swap (CDS) premia at individual company level
The Slope of the Term Structure of Credit Spreads: An Empirical Investigation
No full textIn this paper we analyze the slope of the term structure of credit spreads. We investigate the
explanatory role of interest rate, market and idiosyncratic equity variables, that recent empirical
literature has highlighted as important determinants of credit spread levels. This study extends
the analysis further and assesses their impact on credit slopes. We find that these factors impact
credit spreads at short and long maturities in a significantly different way
Trading Down the Slope(s)
No full textThe credit derivatives market is growing at an impressive rate, with the credit default swap
(CDS) being the most popular instrument. This article is relevant for the trading of CDSs and
bond portfolios. We show that the slope of the credit spread term structure can be used as an indicator of changes in future
short-term credit spreads. This conclusion is tested by implementing a long-short trading
strategy on a CDS index
Trading Down the Slope(s)
No full textThe credit derivatives market is growing at an impressive rate, with the credit default swap
(CDS) being the most popular instrument. This article is relevant for the trading of CDSs and
bond portfolios. We show that
the slope of the credit spread term structure can be used as an indicator of changes in future
short-term credit spreads. This conclusion is tested by implementing a long-short trading
strategy on a CDS inde
Going Beyond Counting First Authors in Author Co-citation Analysis
Full text linkThe present study examines one of the fundamental aspects of author co-citation analysis (ACA) - the way co-citation
counts are defined. Co-citation counting provides the data on which all subsequent statistical analyses and mappings
are based, and we compare ACA results based on two different types of co-citation counting - the traditional type that
only counts the first one among a cited work's authors on the one hand and a non-traditional type that takes into
account the first 5 authors of a cited work on the other hand. Results indicate that the picture produced through this non-traditional author co-citation counting contains more coherent author groups and is therefore considerably clearer. However, this picture represents fewer specialties in the research field being studied than that produced through the traditional first-author co-citation counting when the same number of top-ranked authors is selected and analyzed. Reasons for these effects are discussed
Variations on the Author
Full text link“Variations on the Author” discusses two of Eduardo Coutinho’s recent films (Um Dia na Vida, from 2010, and Últimas Conversas, posthumously released in 2015) and their contribution to the general question of documentary authorship. The director’s filmography is characterized by a consistent yet self-effacing form of authorial self-inscription: Coutinho often features as an interviewer that rather than express opinions propels discourses; an interviewer that is good at listening. This mode of self-inscription characterizes him as an author who is not expressive but who is nonetheless markedly present on the screen. In Um Dia na Vida, however, Coutinho is completely absent form the image, while Últimas Conversas, on the contrary, includes a confessional prologue that moves the director from the margins to the center of his films. This article examines the ways in which these works stand out in the filmography of a director who offers new insights into the notion of cinematic authorship
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