Brennan, Michael; Hein, Julia; Poon, Ser-Huang - Manchester Business School - 2008
that reflect only their credit ratings, or specifically at yields on equivalently ratedcorporate bonds. We distinguish … between credit ratings that are based on probabilities of defaultand ratings that are based on expected default losses. We … thehypothesized pricing system. Increasing the systematic risk or reducing the total risk of the bondcollateral increases the profits …