Kiesel, Florian (2016)
The effect of credit and rating events on credit default swap and equity markets.
Technische Universität Darmstadt
Dissertation, Erstveröffentlichung
Kurzbeschreibung (Abstract)
The global financial crisis brought increased attention to the importance of rating agencies and their valuation process. There is a broad consensus that credit rating agencies bear at least some responsibility for the crisis. Their ratings were too lax, and they were unable to detect any deterioration of the issuer’s credit quality in a timely manner. This thesis offers a comprehensive analysis of the effect of credit rating adjustments on the debt and equity markets and the efficiency of the CDS market. By not only examining the impact of rating changes in general, but also in different regions and during the financial crisis, clearer conclusions can be drawn in the importance of rating changes. In addition, the efficiency of the CDS market and one of the first worldwide CDS regulations offer valuable insights in the understanding of credit valuation. This cumulative dissertation comprises four stand-alone papers. All papers have been published or accepted for publication and are available on the respective journal website.
| Typ des Eintrags: | Dissertation | ||||
|---|---|---|---|---|---|
| Erschienen: | 2016 | ||||
| Autor(en): | Kiesel, Florian | ||||
| Art des Eintrags: | Erstveröffentlichung | ||||
| Titel: | The effect of credit and rating events on credit default swap and equity markets | ||||
| Sprache: | Englisch | ||||
| Referenten: | Schiereck, Prof. Dirk ; Kock, Prof. Alexander | ||||
| Publikationsjahr: | 20 Juni 2016 | ||||
| Ort: | Darmstadt | ||||
| Datum der mündlichen Prüfung: | 20 Juni 2016 | ||||
| URL / URN: | http://tuprints.ulb.tu-darmstadt.de/5535 | ||||
| Kurzbeschreibung (Abstract): | The global financial crisis brought increased attention to the importance of rating agencies and their valuation process. There is a broad consensus that credit rating agencies bear at least some responsibility for the crisis. Their ratings were too lax, and they were unable to detect any deterioration of the issuer’s credit quality in a timely manner. This thesis offers a comprehensive analysis of the effect of credit rating adjustments on the debt and equity markets and the efficiency of the CDS market. By not only examining the impact of rating changes in general, but also in different regions and during the financial crisis, clearer conclusions can be drawn in the importance of rating changes. In addition, the efficiency of the CDS market and one of the first worldwide CDS regulations offer valuable insights in the understanding of credit valuation. This cumulative dissertation comprises four stand-alone papers. All papers have been published or accepted for publication and are available on the respective journal website. |
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| Alternatives oder übersetztes Abstract: |
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| Freie Schlagworte: | Credit Default Swap, Rating agency, Rating, Creditworthiness | ||||
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| URN: | urn:nbn:de:tuda-tuprints-55353 | ||||
| Sachgruppe der Dewey Dezimalklassifikatin (DDC): | 000 Allgemeines, Informatik, Informationswissenschaft > 000 Allgemeines, Wissenschaft 300 Sozialwissenschaften > 330 Wirtschaft |
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| Fachbereich(e)/-gebiet(e): | 01 Fachbereich Rechts- und Wirtschaftswissenschaften 01 Fachbereich Rechts- und Wirtschaftswissenschaften > Betriebswirtschaftliche Fachgebiete 01 Fachbereich Rechts- und Wirtschaftswissenschaften > Betriebswirtschaftliche Fachgebiete > Fachgebiet Unternehmensfinanzierung |
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| Hinterlegungsdatum: | 26 Jun 2016 19:55 | ||||
| Letzte Änderung: | 20 Okt 2021 12:46 | ||||
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| Referenten: | Schiereck, Prof. Dirk ; Kock, Prof. Alexander | ||||
| Datum der mündlichen Prüfung / Verteidigung / mdl. Prüfung: | 20 Juni 2016 | ||||
| Schlagworte: |
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