منابع مشابه
The 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 کاملCredit risk analysis of cashow CDO structures
We develop a method that o¤ers consistent and computationally e¢ cient credit risk analysis of cashow CDO structures. The proposal makes use of simple portfolio models that admit semi-analytic representations of the loss distribution, combined with detailed and fast calculations of realistic interest and principal cashow waterfalls. We de ne in this context and study credit tranche risk measu...
متن کاملCredit Rating Impact on CDO Evaluation
One of the most significant developments in international credit markets in recent years has been the trade in Collateralized Debt Obligations (CDO), which has enabled financial institutions to repackage the credit risk of an asset portfolio into tranches to be transferred to investors. The present paper evaluates the credit risk of such a portfolio and the related tranches by applying two prom...
متن کاملAdvanced credit portfolio modeling and CDO pricing
Credit risk represents by far the biggest risk in the activities of a traditional bank. In particular, during recession periods financial institutions loose enormous amounts as a consequence of bad loans and default events. Traditionally the risk arising from a loan contract could not be transferred and remained in the books of the lending institution until maturity. This has changed completely...
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 Monetary Economics
سال: 2009
ISSN: 0304-3932
DOI: 10.1016/j.jmoneco.2009.04.007