Measuring changes in credit risk: The case of CDS event studies
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DOI: 10.1016/j.gfj.2021.100647
Abstract: Abstract This paper examines the size and power of test statistics designed to detect abnormal changes in credit risk as measured by credit default swap (CDS) spreads. We follow a simulation approach to examine the… read more here.
Keywords: changes credit; test statistics; event; credit risk ... See more keywords