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

This paper analyzes the association between aggregate default and recovery rates on credit assets, and seeks to empirically explain this critical relationship. We examine recovery rates on corporate bond defaults, over the period 1982-2002.(...)

The validation of probability calibration is an inherently difficult task. We develop a testing procedure for credit-scoring models. The models comprise two components to check whether the ex-ante probabilities support the ex-post frequencies. The first component tests the level of the...

In this paper, we study the economic benets from using credit scoring models. We contribute to the literature by relating the discriminatory power of a credit scoring model to the optimal credit decision. Given the Receiver Operating Characteristic (ROC) curve of the credit scoring model, we...

Größen, die erfolgreiche von erfolglosen Unternehmen unterscheiden, kommt schonseit jeher besonderes Interesse zu. Im Mittelpunkt steht dabei die Suche nach densogenannten E r f o l g s f a k t o r e n . Im Laufe der Zeit ist eine "verwirrende Vielfalt vonEinflußgrößen und Bedingungen...

We use dynamic panel analysis to examine whether credit rating agencies achieve what they claim to achieve, namely, look into the future when assigning their ratings. We find that Moodey's ratings help predict individual financial ratios over a horizon of up to five years. Ratings also predict a...

For creating or adjusting credit scoring rules, usually only the accepted applicant’sdata and default information are available. The missing information for therejected applicants and the sorting mechanism of the preceding scoring can leadto a sample selection bias. In other words, mostly...

Die gründliche Überprüfung der Kreditwürdigkeit eines Vertragspartners ist keineswegs ein Novum auf den Finanzmärkten, sondern wird in ihren Grundzügen schon seit Jahrhunderten unter Kaufleuten vor Eingehung von Geschäftsbeziehungen praktiziert. Dies zeigt sich z. B. in zeitgenössischer...

In this contribution the frequently meaningless statementsin the relevant economy literature, about what is knowledge and whatis information, are overcome going back to the roots of information andcommunication theory. Information and entropy are defined preciselyand then the theoretical concept...