منابع مشابه
Are Credit Ratings Valuable Information?
Credit ratings are commonly used by lenders to assess the default risk, because every credit is connected with a possible loss. If the probability of a default is above a certain threshold, a credit will not be provided. The purpose of this paper is to test whether credit ratings contribute valuable information on the creditworthiness of firms. Employing a large sample of Western German manufac...
متن کاملAre Credit Ratings Subjective? The Role of Credit Analysts in Determining Ratings
Credit ratings affect firms’ access to capital and investment choices. We show that the identity of the credit analysts covering a firm significantly affects the firm’s rating, comparing ratings for the same firm at the same time across agencies. Analyst effects account for 30% of the within variation in ratings. Moreover, the rating biases of analysts carry through to credit spreads on the rat...
متن کاملThe Credit Ratings Game
The collapse of so many AAA-rated structured ...nance products in 2007-2008 has brought renewed attention to the causes of ratings failures and the con‡icts of interest in the Credit Ratings Industry. We provide a model of competition among Credit Ratings Agencies (CRAs) in which there are three possible sources of con‡icts: 1) the CRA con‡ict of interest of understating credit risk to attract ...
متن کاملMarket - based Credit Ratings ∗
We present a methodology for rating the creditworthiness of public companies in the U.S. from the prices of traded assets. Our approach uses asset pricing data to impute a term structure of risk neutral survival functions or default probabilities. Firms are then clustered into ratings categories based on their survival functions using a functional clustering algorithm. This allows all public fi...
متن کاملEndogenous Credit Ratings
I study the role of credit ratings in crises by introducing a financial market in a coordination game with borrowers that must rollover their debts. The asset price aggregates dispersed private information acting as a public noisy signal. Credit rating agencies use this price to set their ratings. Moreover, agencies know that credit ratings influence lending decisions, thus affecting the credit...
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ژورنال
عنوان ژورنال: Applied Financial Economics
سال: 2007
ISSN: 0960-3107,1466-4305
DOI: 10.1080/09603100600749220