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The evolution and determinants of emerging market credit spreads in the 1990s

Kamin, Steven B.; Kleist, Karsten von - Federal Reserve Board (Board of Governors of the … - 1999

This paper develops measures of emerging market credit spreads for the 1990s, based on data on new bond issues and bank … loans, that cover a broader range of borrowers than the Brady bond spreads most commonly used to date. These measures are … used to identify the impacts of credit ratings, maturity and currency denomination on spreads. We find important regional …

Persistent link: https://www.econbiz.de/10005368418

Credit ratings agencies: testimony before the Subcommittee on Oversight and Investigations, Committee on Financial Services, U.S. House of Representatives, July 27, 2011

Weide, Mark E. Van Der - Federal Reserve Board (Board of Governors of the … - 2011

Persistent link: https://www.econbiz.de/10010727542

Parameterizing credit risk models with rating data

Carey, Mark; Hrycay, Mark - Federal Reserve Board (Board of Governors of the … - 2000

Estimates of average default probabilities for borrowers assigned to each of a financial institution's internal credit risk rating grades are crucial inputs to portfolio credit risk models. Such models are increasingly used in setting financial institution capital structure, in internal control...

Persistent link: https://www.econbiz.de/10005720997

Constant proportion debt obligations: a post-mortem analysis of rating models

Gordy, Michael B.; Willemann, Søren - Federal Reserve Board (Board of Governors of the … - 2010

In its complexity and its vulnerability to market volatility, the CPDO might be viewed as the poster child for the excesses of financial engineering in the credit market. This paper examines the CPDO as a case study in model risk in the rating of complex structured products. We demonstrate that...

Persistent link: https://www.econbiz.de/10008498937

Credit ratings agencies: testimony before the Subcommittee on Oversight and Investigations, Committee on Financial Services, U.S. House of Representatives, July 27, 2011

Weide, Mark E. Van Der - Federal Reserve Board (Board of Governors of the … - 2011

Persistent link: https://www.econbiz.de/10009131500

How consistent are credit ratings? a geographic and sectoral analysis of default risk

Ammer, John; Packer, Frank - Federal Reserve Board (Board of Governors of the … - 2000

We examine differences in default rates by sector and obligor domicile. We find evidence that credit ratings have been imperfectly calibrated across issuer sectors in the past. Controlling for year of issue and rating, default rates appear to be higher for U.S. financial firms than for U.S....

Persistent link: https://www.econbiz.de/10005368242

Good news is no news? The impact of credit rating changes on the pricing of asset-backed securities

Ammer, John; Clinton, Nathanael - Federal Reserve Board (Board of Governors of the … - 2004

downgrades tend to be accompanied by negative returns and widening spreads, with the average effects stronger than those that …

Persistent link: https://www.econbiz.de/10005368282

How long do junk bonds spend in default?

Helwege, Jean - Federal Reserve Board (Board of Governors of the … - 1994

Persistent link: https://www.econbiz.de/10005513099

Informed and strategic order flow in the bond markets

Pasquariello, Paolo; Vega, Clara - Federal Reserve Board (Board of Governors of the … - 2006

We study the role played by private and public information in the process of price formation in the U.S. Treasury bond market. To guide our analysis, we develop a parsimonious model of speculative trading in the presence of two realistic market frictions -- information heterogeneity and...

Persistent link: https://www.econbiz.de/10005372623

Does trading frequency affect subordinated debt spreads?

Bianchi, Christopher; Hancock, Diana; Kawano, Laura - Federal Reserve Board (Board of Governors of the … - 2004

Because illiquid bonds may be relatively poorly priced, the ability to infer investor perceptions of changes in a … banking organization's financial health from such bonds may be obscured. To examine the time-series effect of trading … frequency on subordinated debt spreads, we consider the liquidity of subordinated debt for large, complex U.S. banking …

Persistent link: https://www.econbiz.de/10005393670