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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

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

We assess the impact of credit ratings on the pricing of structured financial products, using a sample of more than 1300 changes in Moody's or Standard and Poor's (S&P) ratings of U.S. asset-backed securities (ABS). We find that rating downgrades tend to be accompanied by negative returns and...

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

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,...

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

being considered for use in setting regulatory capital requirements for banks. This paper empirically examines properties of …

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

Bank Profitability and Debit Card Interchange Regulation: Bank Responses to the Durbin Amendment

Kay, Benjamin S.; Manuszak, Mark D.; Vojtech, Cindy M. - Federal Reserve Board (Board of Governors of the … - 2014

structure of the debit card payment processing industry and caps debit card interchange fees for banks with over $10 billion in … increases in customer account fees. Some participants also predicted that banks would cut costs in response to the law by … fee income fell for treated banks, leading to a fall in noninterest income. We also find that banks only partially offset …

Persistent link: https://www.econbiz.de/10010937976

Do Small Businesses Still Prefer Community Banks?

Berger, Allen N.; Goulding, William; Rice, Tara - Federal Reserve Board (Board of Governors of the … - 2013

, and local versus nonlocal banks – in banking relationships. The conventional paradigm suggests that "community banks …

Persistent link: https://www.econbiz.de/10010728891

Gates, Fees, and Preemptive Runs

Cipriani, Marco; Martin, Antoine; McCabe, Patrick E.; … - Federal Reserve Board (Board of Governors of the … - 2014

We build a model of a financial intermediary, in the tradition of Diamond and Dybvig (1983), and show that allowing the intermediary to impose redemption fees or gates in a crisis--a form of suspension of convertibility--can lead to preemptive runs. In our model, a fraction of investors...

Persistent link: https://www.econbiz.de/10010784171