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Why Ratings Matter: Evidence from Lehman’s IndexRating Rule Change
Chen, Zhihua; Lookman, Aziz A.; Schürhoff, Norman; … - Swiss National Centre of Competence in Research North … - 2010
This paper examines the role of bond ratings and the effects of rating-based regulations in thecorporate bond market …. Exploiting an unanticipated mechanical change in how the benchmarkLehman bond indices are constructed in 2005, we show that … rating-induced market segmentationof the bond market into investment-grade and high-yield sectors has a first-order impact on …
Persistent link: https://www.econbiz.de/10009248846
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Die Berechnung von Passport-Optionen mit Finiten Elementen
Topper, Jürgen - 2000
erhält als Nebenprodukt die Hedge Ratio. Außer anhand des einfachen Passport Calls als Benchmark zeigen wir dies anhand …
Persistent link: https://www.econbiz.de/10005840944
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Avoiding the rating bounce
Löffler, Gunter - 2002
Rating agencies state that they take a rating action only when it is unlikely to bereversed shortly afterwards. Based on a formal representation of the rating process, Ishow that such a policy provides a good explanation for the empirical evidence: Ratingchanges occur relatively seldom, exhibit...
Persistent link: https://www.econbiz.de/10005844552
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How rating agencies achieve rating stability
Altman, Edward I.; Rijken, Herbert A. - 2004
Surveys on the use of agency credit ratings reveal that most investors believe that rating agencies are relatively slow in adjusting their ratings. (...)
Persistent link: https://www.econbiz.de/10005846812
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How do Self-fulfilling Prophecies affect Financial Ratings? - An experimental study
Čeljo-Hörhager, Sanela; Niessen, Alexandra
In diesem Papier untersuchen wir experimentell, ob Informationsintermediäre wieRatingagenturen die Bonität von Kreditnehmern unterschiedlich bewerten, wenn sie ex-postdie Richtigkeit eigener Bewertungen herbeiführen können (sog. Self-fulfilling Prophecies).Diese Frage ist besonders im...
Persistent link: https://www.econbiz.de/10005855956
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Can Market Discipline Work in the Case of Rating Agencies?Some Lessons from Moody’s Stock Price.
Löffler, Gunter - Universität <Ulm> / Institut für Finanzwirtschaft
ratingindustry. While the study is restricted to the corporate bond sector, it also sheds light on thedebate surrounding structured … finance ratings. The finding that market discipline is present inthe mature corporate bond sector supports the view that it …
Persistent link: https://www.econbiz.de/10005870841
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AVOIDING THE RATING BOUNCE: WHY RATING AGENCIES ARE SLOW TOREACT TO NEW INFORMATION
Löffler, Gunter - Universität <Ulm> / Institut für Finanzwirtschaft
Rating agencies state that they take a rating action only when it is unlikely to bereversed shortly afterwards. Using a formal representation of the rating process, I showthat such a policy provides a good explanation for the empirical evidence: ratingchanges relatively seldom occur, they...
Persistent link: https://www.econbiz.de/10005870847
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Ratings versus market-based measures of default risk in portfolio governance
Löffler, Gunter - Universität <Ulm> / Institut für Finanzwirtschaft - 2004
This paper assesses whether ratings or market-based credit risk measures are more suitable forformulating portfolio governance rules. Such rules, which consist of buy and sell restrictions,are commonly used in investment management. Based on data from 1983 to 2002, it is notevident that one of...
Persistent link: https://www.econbiz.de/10005870848
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AN ANATOMY OF RATING THROUGH THE CYCLE
Löffler, Gunter - Universität <Ulm> / Institut für Finanzwirtschaft - 2002
Using a structural model of default, I derive rating characteristics if ratings are meant tolook ‘through the cycle’ as opposed to being based on the borrowers’ current condition.The through-the-cycle method, which is employed by most rating agencies, requires aseparation of permanent and...
Persistent link: https://www.econbiz.de/10005870851
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Sound Insurance Markets - Combining Macro Oversight and Individual Prudence
Mosher, Matthew C. - International Association for the Study of Insurance … - 2010
How do ratings fit in?, Financial crisis Issues, Financial Crisis Impact
Persistent link: https://www.econbiz.de/10005871222