Credit rating downgrades and systemic risk
(2023)
Journal Article
Kladakis, G., & Skouralis, A. (2024). Credit rating downgrades and systemic risk. Journal of International Financial Markets, Institutions and Money, 90, Article 101902. https://doi.org/10.1016/j.intfin.2023.101902
We examine whether changes in issuer credit ratings by the three main providers are associated with changes in systemic risk. First, we find that rating downgrades result in an increase in bank systemic risk, whereas upgrades do not proportionally re... Read More about Credit rating downgrades and systemic risk.