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Comparing the accuracy of default predictions in the rating industry : The case of Moody's vs. S&P

Krämer, Walter; Güttler, André - 2003

We consider 1927 borrowers from 54 countries who had a credit rating by both Moody s and S&P as of the end of 1998, and their subsequent default history up to the end of 2002. Viewing bond ratings as predicted probabilities of default, we show that it is unlikely that both agencies are well...

Persistent link: https://www.econbiz.de/10010509832

The empirical relation between credit quality, recovery, and correlation

Rösch, Daniel; Scheule, Harald - 2009

Persistent link: https://www.econbiz.de/10003975032

How committed are bank lines of credit? : Experiences in the subprime mortgage crisis

Huang, Rocco - 2010

Persistent link: https://www.econbiz.de/10003994650

Securitization and moral hazard : evidence from a lender cutoff rule

Bubb, Ryan; Kaufman, Alex - 2009

perapplicant fixed costs in screening. We then demonstrate that our theory fits the data better than the main alternative theory … already in the literature, which supposes cutoff rules are exogenously used by securitizers. Furthermore, we use our theory to …