Credit ratings and credit default swaps prices during the first years of the global financial crisis – case of Greece
Bartosz Stasch
Poznań University of Economics and Business , PolandAbstract
Before and during recent global financial crisis credit rating agencies (CRA) were accused of providing inaccurate information to the market. Not only the information was inaccurate but also CRA were very slow to react to changes in the market. This raised a question about the role of these companies and their future as their reputation was under threat. In this light Credit Default Swaps can be seen as more accurate risk measurement tool. They provide, in many cases, “live” information about the credit risk and are well ahead of CRA. There are number of threats of using CDSs as risk measurement tools however, when used with other instruments, they can be powerful tool for enhancing credit risk knowledge.
Keywords:
Greece, credit risk, financial crisis, credit rating agencies, swaps risk of insolvencyReferences
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Poznań University of Economics and Business
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This work is licensed under a Creative Commons Attribution 4.0 International License.
This work is licensed under a Creative Commons Attribution 4.0 International License.
