Do changes in distance-to-default anticipate changes in the credit rating?
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Cited by:
- Marta Gómez-Puig & Simón Sosvilla-Rivero & Manish K. Singh, 2015.
"“Sovereigns and banks in the euro area: a tale of two crises”,"
IREA Working Papers
201504, University of Barcelona, Research Institute of Applied Economics, revised Jan 2015.
- Marta Gómez-Puig & Simón Sosvilla-Rivero & Manish K. Singh, 2015. "Sovereigns and banks in the euro area: A tale of two crises," Working Papers 15-01, Asociación Española de Economía y Finanzas Internacionales.
- Manish K. Singh & Marta Gómez-Puig & Simón Sosvilla-Rivero, 2014.
"Forward looking banking stress in EMU countries,"
Working Papers
14-10, Asociación Española de Economía y Finanzas Internacionales.
- Manish K. Singh & Marta Gómez-Puig & Simón Sosvilla-Rivero, 2014. "“Forward Looking Banking Stress in EMU Countries”," IREA Working Papers 201421, University of Barcelona, Research Institute of Applied Economics, revised Oct 2014.
- Singh, Manish K. & Gómez-Puig, Marta & Sosvilla-Rivero, Simón, 2015.
"Bank risk behavior and connectedness in EMU countries,"
Journal of International Money and Finance, Elsevier, vol. 57(C), pages 161-184.
- Manish K. Singh & Marta Gómez-Puig & Simón Sosvilla-Rivero, 2015. "“Bank risk behavior and connectedness in EMU countries”," IREA Working Papers 201517, University of Barcelona, Research Institute of Applied Economics, revised Jun 2015.
- Marta Gómez-Puig & Simón Sosvilla-Rivero & Manish K. Singh, 2018. "“Incorporating creditors' seniority into contingent claim models:Application to peripheral euro area countries”," IREA Working Papers 201803, University of Barcelona, Research Institute of Applied Economics, revised Feb 2018.
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More about this item
Keywords
Distance to Default; rating downgrades; rating change; forecasts; event study analysis; probit models; simulation; bootstrap; crisis analysis;All these keywords.
JEL classification:
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
NEP fields
This paper has been announced in the following NEP Reports:- NEP-BAN-2012-05-15 (Banking)
- NEP-CBA-2012-05-15 (Central Banking)
- NEP-FOR-2012-05-15 (Forecasting)
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