Federica Salvade

Federica Salvade, Postdoctoral Fellow (CV)

Supervisor : Eric Lamarque

Research Unit: Markets, Banking and Financial Risks

Information about PhD

First name Federica
Last name Salvade
Home university University of Paris 1 Panthéon-Sorbonne – Laboratoire d’excellence sur la régulation financière (LabEx RéFi)
Abstract of your PhD The aim of my thesis is to study the market reaction around credit rating announcements. Precisely, the thesis focuses on the impact of rating news on price volatility, liquidity and market activity in the bond and CDS market. A chapter also examines whether and how the issuers’ share price reacts to credit rating withdrawals
Your thesis title Essays on Credit Rating Agencies
JEL Classification (Ex. G28, E58, K2) G10, G14, G24
Keywords Ratings, Disclosure, Information, Event Studies

Description of research project within the Labex Framework

Objectives The aim of this project is to understand whether and how the market reaction around rating announcements changes after the implementation of the new European regulation (CRA III).
After the regulation has been implemented, rating announcements are released following a scheduled calendar with a potential decrease in the informational content of announcements.
Design / methodology / approach The aim is to compare, before and after the EU regulation of Credit Rating ( CRA III), the evolution of CDS spreads, realized volatility and bid-ask spread around rating announcements. The data set used in this paper are the CDS sovereigns data by CMA. Rating changes are collected through Thomson Reuters. An event study and a multivariate analysis will be implemented following the methodology of our previous paper “Rating announcements, volatility and CDS Spread during the financial crisis”.
Expected empirical findings After the EU regulation came into force : (i) Rating announcements may become less informative because strongly anticipated by the market. As a consequence, lower change in spread and volatility after the releases are expected. (ii) Abnormal high volatility may be observed on the scheduled announcements date.
Research contribution / practical implications / Originality Due to the financial crisis, a new set of regulations and a new European System of Financial Supervisors including a new authority, ESMA, in charge of the oversight of rating agencies, were established. This paper would be the first to analyze the effect of CRA III implementation. The results should be of interest for regulators and help to build an efficient set of CRAs regulation.
Expected outputs before the end of your Labex contract (number of expected research articles and policy papers) The project described will be a policy paper of LABEX and a suitable candidate for an academic publication. In addition, as shown in my curriculum vitae, several completed papers are close to submission and several work in progress will be completed at the end of the LABEX contract
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