Feature selection is an essential pre-processing technique in data mining that eliminates redundant or unrepresentative attributes and improves the performance of classifiers. However, a classifier with different feature selection approaches results in diverse outcomes. Thus, determining how to...

We study risk and return characteristics of CDOs using the market standard models. We find that fair spreads on CDO tranches are much higher than fair spreads on similarly-rated corporate bonds. Our results imply that credit ratings are not sufficient for pricing, which is surprising given their...

Purpose – The purpose of this paper is to examine empirically whether the market discipline works, and if so, whether it is a complement or substitute of prudential regulation in the insurance markets. Market discipline is intended as “the power of … market forces … to evaluate and...

This study examines the role played by credit ratings in explaining corporate capital structure choice during a period characterised by a major adverse loan supply shock. Recent literature has argued that supply-side factors are potentially as important as demand-side forces in determining...

We analyze the impact of the Dodd-Frank Wall Street Reform and Consumer Protection Act (Dodd-Frank) on corporate bond ratings issued by credit rating agencies (CRAs). We find no evidence that Dodd-Frank disciplines CRAs to provide more accurate and informative credit ratings. Instead, following...