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Sovereign Risk And Cds. The Case Of Romania

Author

Listed:
  • Oana Mihaela MARIOARA (ORHEIAN)

    (Academy of Economic Studies, Bucharest)

Abstract

The objective of this paper is to study the relationship between changing sovereign risk rating given by credit rating agencies for Romania and CDS of this borrower on the international capital market. For this purpose was used event study methodology type, the event is changing the qualifier sovereign risk by Fitchratings over the period June 2008 - August 2011. Two events are considered, one of worsening sovereign risk qualifier another one of the improvement. In case of increased risk, the main conclusion is that CDS continues moving after the announcement in the direction triggered before the event. If case of risk reduction, the market anticipated positive change of sovereign rating, the reaction is strong on the day the notice of the event and favorable effect remains in the window + 20 days .

Suggested Citation

  • Oana Mihaela MARIOARA (ORHEIAN), 2015. "Sovereign Risk And Cds. The Case Of Romania," SEA - Practical Application of Science, Romanian Foundation for Business Intelligence, Editorial Department, issue 7, pages 51-56, April.
    • Handle: RePEc:cmj:seapas:y:2015:i:7:p:51-56
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    References listed on IDEAS

    as
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    3. Debora Revoltella & Fabio Mucci & Dubravko Mihaljek, 2010. "Properly pricing country risk: a model for pricing long-term fundamental risk applied to central and eastern European countries," Financial Theory and Practice, Institute of Public Finance, vol. 34(3), pages 219-245.
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    More about this item

    Keywords

    Sovereign risk rating; CDS; Rating agencies; Economic crisis;
    All these keywords.

    JEL classification:

    • G20 - Financial Economics - - Financial Institutions and Services - - - General

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