Debt rating downgrades of financial institutions: causality tests on single-issue CDS and iTraxx

DOI10.1080/14697688.2019.1619933zbMath1441.91083OpenAlexW2958916375WikidataQ127533919 ScholiaQ127533919MaRDI QIDQ5120730

Olivier Nataf, Lieven de Moor

Publication date: 16 September 2020

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://biblio.vub.ac.be/vubirfiles/75849032/Debt_rating_downgrades_of_financial_institutions_Nataf_De_Moor.pdf

zbMATH Keywords

Granger causalitycredit default swapsiTraxx indexrating downgrades

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

Related Items (1)

Identify the characteristic in the evolution of the causality between the gold and dollar

Cites Work

• Granger-causality in cointegrated VAR processes. The case of the term structure

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