Credit ratings failures and policy options
نویسندگان
چکیده
منابع مشابه
Capital Ratios and Credit Ratings as Predictors of Bank Failures
We examine the power of various capital ratios — scaled by total assets, riskweighted assets and gross revenues — to forecast U.S. bank failures. Capital ratios are the centerpiece of the 1988 Basel Accord, and various ratios are currently under consideration in Basel in connection with one of the three “pillars” of a more comprehensive approach to capital adequacy. Using data for the period 19...
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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 ...
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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 کاملCredit Ratings and Capital Structure
This paper examines to what extent credit ratings directly affect capital structure decisions. The paper outlines discrete costs/benefits associated with firm credit rating level differences, and tests whether concerns for these costs/benefits directly affect debt and equity financing decisions. The tests find that firms near a rating upgrade or downgrade issue less debt relative to equity than...
متن کاملCredit Ratings and Market Dynamics
Rating agencies provide opinions on the creditworthiness of companies and debt instruments, and so reduce lenders’ information gathering costs. Their ratings are especially useful in distinguishing the relative riskiness of different borrowers. Empirical evidence suggests that rating agencies rank the riskiness of borrowers well: realised default rates are consistently higher for lower rating g...
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ژورنال
عنوان ژورنال: Economic Policy
سال: 2010
ISSN: 0266-4658,1468-0327
DOI: 10.1111/j.1468-0327.2010.00245.x