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...

Surveys on the use of agency credit ratings reveal that most investors believe that rating agencies are relatively slow in adjusting their ratings. (...)

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...

This paper shows that the stock price of the rating agency Moody’s reacts negatively to ratingactions that are perceived to indicate low rating quality. The reaction is economicallysignificant. The cumulative effect corresponds to a 20% loss in market capitalization. Thissuggests that market...

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...

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...

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...

How do ratings fit in?, Financial crisis Issues, Financial Crisis Impact

Before - The use of ratings; During- Responses, Reactions, Lessons Learnt; After- BReakouts, Conclusions...

Rating agencies learned their lessons, insurance ratings less affected than other (banks, MBS), insurance ratings will remain an important part of financial markets...until a new black swan emerges...