Effects of credit rating announcements on credit default swaps

This book examines the impact of rating changes and rating watches on CDS written on insurance companies. We address the question of whether insurers' rating announcements issued by A.M. Best, Fitch, Moody's and Standard& Poors provide CDS market participants with new and valuable information and, more broadly, whether rating agencies perform a monitoring role that is beneficial to stakeholders of insurance companies. Findings are of interest to supervisors, regulators, insurance clients and insurance brokers that look upon ratings as measures of insurers' capacity to honour their financial obligations and to insurers' management who see that investors value information contained in additions to the negative watchlist.