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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
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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
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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
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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
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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
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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
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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
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Diversification, original sin, and international bond portfolios
Burger, John D.; Warnock, Francis E. - Federal Reserve Board (Board of Governors of the … - 2003
local-currency-denominated bonds are particularly sensitive to past and prospective volatility of returns. Analysis of …
Persistent link: https://www.econbiz.de/10005368424
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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
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Uncovering country risk in emerging market bond prices
Durbin, Erik; Ng, David Tat-Chee - Federal Reserve Board (Board of Governors of the … - 1999
, we study the relationship between the secondary market spreads (over hard-currency government bond yields) of bonds … government. We do find that the spreads of emerging market corporate and government bonds over hard-currency government bonds are … issued by emerging market firms and bonds issued by their home governments over the past 3 1/2 years. Our results indicate …
Persistent link: https://www.econbiz.de/10005712770