Showing 1 - 10 of 1,197
’s restrictions. Securities underwritten by commercial banks’ subsidiaries have a higher probability of default than those … gain market share and/or to the lower initial ability of these banks to correctly evaluate default risk. …
Persistent link: https://www.econbiz.de/10011605333
’s restrictions. Securities underwritten by commercial banks’ subsidiaries have a higher probability of default than those … gain market share and or to the lower initial ability of these banks to correctly evaluate default risk …
Persistent link: https://www.econbiz.de/10013316115
premium can be regarded as a forward-looking measure of idiosyncratic sovereign default risk as perceived by financial markets …
Persistent link: https://www.econbiz.de/10011605762
When back-testing the calibration quality of rating systems two-sided statistical tests can detect over- and underestimation of credit risk. Some users though, such as risk-averse investors and regulators, are primarily interested in the underestimation of risk only, and thus require one-sided...
Persistent link: https://www.econbiz.de/10011605930
This paper proposes a set of indicators relevant for the risk characteristics of covered bonds, as based on granular publicly available transparency data. The indicators capture various aspects of cash flow risks related to the issuer, the cover pool and the payment structure. They offer unified...
Persistent link: https://www.econbiz.de/10012422055
In this paper, we empirically investigate the impact of intensified competition on rating quality in the credit rating market for residential mortgage-backed securities (RMBS) in the period 2017-2020. We provide evidence that competition between large credit rating agencies (CRAs) (Moody's and...
Persistent link: https://www.econbiz.de/10014278275
We empirically investigated the impact of regulatory risk retention methods on credit ratings and pricing at issuance using a sample of European securitization tranches issued in the period 2011-2021. European regulation is based on the assumption that all risk retention methods homogenously...
Persistent link: https://www.econbiz.de/10014374781
We examine the link between issuer reputation and mortgage-backed security (MBS) performance using a sample of 4,247 European MBS issued between 1999 and 2007. We measure performance with credit rating downgrades and delinquencies and track their changes over the long term. We find that,...
Persistent link: https://www.econbiz.de/10012142080
, CDO, CLO, etc.). I argue that a proper 'dynamic' modeling of systemic risk is crucial for gauging the exposure to default …
Persistent link: https://www.econbiz.de/10013128337
, CDO, CLO, etc.). I argue that a proper 'dynamic' modeling of systemic risk is crucial for gauging the exposure to default …
Persistent link: https://www.econbiz.de/10013131934