We estimate the pricing of sovereign risk for fifty countries based on fiscal space (debt/tax;
deficits/tax) and other economic fundamentals over 2005–10. We focus in particular on five …

This paper examines the effect of sovereign credit rating change announcements on the
CDS spreads of the event countries, and their spillover effects on other emerging …

Governments around the world are tackling the COVID-19 pandemic with a mix of public
health, fiscal, macroprudential, monetary, and/or market-based policies. We assess the …

This paper introduces a new approach to pricing sovereign risk based on sovereign credit
default swap (CDS) spreads. We estimate a dynamic market-based measure of sovereign …

We document the ability of the credit default swap (CDS) market to anticipate favorable as
well as unfavorable credit rating change (RC) announcements based on more extensive …

We examine the impact of a corporate social responsibility (CSR) rating announcement on
the credit default swap (CDS) spreads of European firms. Our results indicate that a CSR …

In this paper we employ a new approach to test the contribution of information in rating
announcements. This is the first study to test and corroborate how the CDS market responds …

Enterprise risk management (ERM) has emerged as a framework for more holistic and
integrated risk management with an emphasis on enhanced governance of the risk …

We find that Credit Rating Agencies (CRA)'s opinions have an impact in the cost of funding
of sovereign issuers and consequently ratings are a concern for financial stability. While …

This study provides a comprehensive analysis of credit rating economics and draws
conclusions on the nature of regulation. It starts with an overview of the credit rating industry …