Evidence from many countries in recent years suggests that collateral values and recovery rates on corporate defaults can be volatile and, moreover, that they tend to go down just when the number of defaults goes up in economic downturns.(...)

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...

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...

Do bond investors demand credit quality or liquidity? The answer is both, but at different times and for different reasons. Using data on the Euro-area government bond market, which features a unique negative correlation between credit quality and liquidity across countries, we show that 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...

In this paper we analyze the source and magnitude of marketing gains from selling structured debtsecurities at yields 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...

Credit risk measurement and management become more important in all financial institutions in the light of the current financial crisis and the global recession. This particularly applies to most of the complex structured financing forms whose risk cannot be quantified with com-mon rating...

This paper examines why unsolicited ratings tend to be lower than solicited ratings. Bothself-selection among issuers and strategic conservatism of rating agencies may be reasonableexplanations. Analyses of default incidences of non-U.S. borrowers between January 1996and December 2006 show that...

Aufgezeigt wird, dass im Vergleich der Jahre insbesondere 2000 und 2005 derLebensversicherungsmarkt durch eine neue Aufteilung Leistungs starker sowie schwächererUnternehmen geprägt ist. Die Kundenbeteiligung erfährt hierbei eine eigene Dynamik von einer in2000 eher vom Leistungsvermögen...

We study effects of Basel II on credits for Swiss towns and cities in the years 2006(before Basel II) and 2007 (after Basel II). We collected data of these loans andcomputed their margins. Moreover we collected data on the financial situation of thetowns and cities and used this to compute a...