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Modeling a distribution of mortgage credit losses

Gapko, Petr; Šmíd, Martin - 2010

means of past mortgage deliquency rates. We give a statistical evidence that the non-normal model is much more suitable than …

Persistent link: https://www.econbiz.de/10010322287

Comparing the accuracy of default predictions in the rating industry: The case of Moody's vs. S&P

Krämer, Walter; Güttler, André - 2003

We consider 1927 borrowers from 54 countries who had a credit rating by both Moody's and S&P as of the end of 1998, and their subsequent default history up to the end of 2002. Viewing bond ratings as predicted probabilities of default, we show that it is unlikely that both agencies are well...

Persistent link: https://www.econbiz.de/10010306287

Incorporating the dynamics of leverage into default prediction

Löffler, Gunter; Maurer, Alina - 2009

A firm's current leverage ratio is one of the core characteristics of credit quality used in statistical default prediction models. Based on the capital structure literature, which shows that leverage is mean-reverting to a target leverage, we forecast future leverage ratios and include them in...

Persistent link: https://www.econbiz.de/10010263767

Are Credit Ratings Valuable Information?

Kraft, Kornelius; Czarnitzki, Dirk - 2004

Credit ratings are commonly used by lenders to assess the default risk, because every credit is connected with a possible loss. If the probability of a default is above a certain threshold, a credit will not be provided. The purpose of this paper is to test whether credit ratings contribute...

Persistent link: https://www.econbiz.de/10010297323

Systematic risk of CDOs and CDO arbitrage

Hamerle, Alfred; Liebig, Thilo; Schropp, Hans-Jochen - 2009

"Arbitrage CDOs" have recorded an explosive growth during the years before the outbreak of the financial crisis. In the present paper we discuss potential sources of such arbitrage opportunities, in particular arbitrage gains due to mispricing. For this purpose we examine the risk profiles of...

Persistent link: https://www.econbiz.de/10010299482

Avoiding the rating bounce: Why rating agencies are slow to react to new information

Löffler, Gunter - 2002

Rating agencies state that they take a rating action only when it is unlikely to be reversed shortly afterwards. Based on a formal representation of the rating process, I show that such a policy provides a good explanation for the empirical evidence: Rating changes occur relatively seldom,...

Persistent link: https://www.econbiz.de/10010316237

Stages of the Ongoing Global Financial Crisis: Is There a Wandering Asset Bubble?

Orlowski, Lucjan T. - 2008

demise of the subprime mortgage market and the mortgagebacked securities in the U.S., this crisis has reverberated across … are identified: the meltdown of the subprime mortgage market, spillovers into broader credit market, the liquidity crisis …

Persistent link: https://www.econbiz.de/10010269915

Stages of the ongoing global financial crisis: Is there a wandering asset-price bubble?

Orlowski, Lucjan T. - 2008

mortgage market, spillovers into broader credit market, the liquidity crisis epitomized by the fallout of Northern Rock, Bear … elevated market, credit and liquidity risks. Since its original outbreak induced by the demise of the subprime mortgage market … and the mortgage-backed securities in the U.S., the crisis has reverberated across other credit areas, structured …

Persistent link: https://www.econbiz.de/10011430817

Stages of the 2007/2008 Global Financial Crisis Is There a Wandering Asset-Price Bubble?

Orlowski, Lucjan T. - 2008

mortgage market; spillovers into broader credit market; the liquidity crisis epitomized by the fallout of Northern Rock, Bear …

Persistent link: https://www.econbiz.de/10010298579

R&D and Firm Performance in a Transition Economy

Czarnitzki, Dirk; Kraft, Kornelius - 2006

We estimate the effects of R&D on firms' credit ratings and on financial distress. The main purpose is the comparison …

Persistent link: https://www.econbiz.de/10010297541

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