We analyze the impact of sovereign rating changes on European corporate loan spreads. We demonstrate that sovereign downgrades lead to significant increases in the spread of loans to domestic firms. We find evidence that the negative effects of a sovereign downgrade are widespread across all...

Wealth transfer effects between stockholders and bondholders on the announcement date of changes in a firm's credit rating have primarily been examined a) for one type of security; b) on US capital markets; and c) by applying standard event study methods. In contrast to these investigations, we...

This paper proposes a set of indicators relevant for the risk characteristics of covered bonds, as based on granular publicly available transparency data. The indicators capture various aspects of cash flow risks related to the issuer, the cover pool and the payment structure. They offer unified...

On 3 December EY hosted a SUERF conference on banking reform with Sir Howard Davies, the Chairman of RBS, and Dame Colette Bowe, the Chairman of the Banking Standards Board, as the two keynote speakers. Professor David Miles (Imperial College) gave the SUERF 2015 Annual Lecture on Capital and...

Credit Rating Agencies (CRAs) have been a market entity relatively neglected by regulators and commenters, despite the increasing importance they have had in the 20th century financial markets development. Different legal system as United States of America and European Union have both recently...

This paper looks at the credit rating adjustments on Eurozone banks that followed the post-crisis regulation of bank resolution in Europe in 2014. The empirical assessment analyses within-bank variation using the credit ratings of the major Eurozone banks. The analysis shows that with the...

We empirically investigated the impact of regulatory risk retention methods on credit ratings and pricing at issuance using a sample of European securitization tranches issued in the period 2011-2021. European regulation is based on the assumption that all risk retention methods homogenously...

Market risk reporting in banking has assumed such importance during the last decade. The purpose of this paper is to provide a methodology to evaluate the qualitative and quantitative profiles of the market risk disclosure in banking. We propose a hybrid methodology to assess whether or not...

This study is aiming to present (and to a certain extent analyse) the provisions of Articles 24-30 of Directive 2014/65/EU of the European Parliament and of the Council of 15 May 2014 “on markets in financial instruments (…)” (‘MiFID II') – including the relevant provisions of the...