Credit ratings, private information, and bank monitoring ability
نویسندگان
چکیده
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...
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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...
متن کاملDeriving Private Information from Randomly Perturbed Ratings
Collaborative filtering techniques have become popular in the past several years as an effective way to help people deal with information overload. An important security concern in traditional recommendation systems is that users disclose information that may compromise their individual privacy when providing ratings. Randomized perturbation schemes have been proposed to disguise user ratings w...
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...
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ژورنال
عنوان ژورنال: Journal of Financial Intermediation
سال: 2018
ISSN: 1042-9573
DOI: 10.1016/j.jfi.2017.11.001