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The alchemy of CDO credit ratings
Benmelech, Efraim; Dlugosz, Jennifer - In: Journal of monetary economics 56 (2009) 5, pp. 617-634
Persistent link: https://www.econbiz.de/10003883726
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Rating methodologies for banks
Packer, Frank; Tarashev, Nikola A. - In: BIS quarterly review : international banking and … (2011), pp. 39-52
Persistent link: https://www.econbiz.de/10009158122
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The information in systemic risk rankings
Nucera, Federico; Schwaab, Bernd; Koopman, Siem Jan; … - 2015
components. The resulting overall ranking is less affected by estimation uncertainty and model risk. We apply our methodology to … ranking from the principal components is less volatile than most individual risk rankings and leads to less turnover among the … risk ranking by relating it to credit default swap premia. …
Persistent link: https://www.econbiz.de/10010532581
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Capital shortfall : a new approach to ranking and regulating systemic risks
Acharya, Viral V.; Engle, Robert F.; Richardson, Matthew - In: The American economic review 102 (2012) 3, pp. 59-64
Persistent link: https://www.econbiz.de/10009705301
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The alchemy of CDO credit ratings
Benmelech, Efraim; Dlugosz, Jennifer - 2009
Persistent link: https://www.econbiz.de/10003831425
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The IPS-NTU ASEAN 9 + 1 economic competitiveness ranking indices
Tan, Khee-Giap - In: ASEAN economic bulletin 21 (2004) 2, pp. 234-238
Persistent link: https://www.econbiz.de/10002222067
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Analyzing Tail Risk Using Crisis Utility Rankings
Wakeman, Kendrick - 2011
strategies. Specifically, using the HFR dataset, we found the strategies with the highest Crisis Utility Ranking were Short Bias …
Persistent link: https://www.econbiz.de/10013132498
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Rating Methodologies for Banks
Packer, Frank - 2013
The three major rating agencies are reassessing banks' credit risk in the light of the recent crisis. So far, this has resulted in material downgrades, especially of European and US institutions, and increased agreement about banks' overall level of creditworthiness and their greater dependence...
Persistent link: https://www.econbiz.de/10013092807
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Global Systemic Risk Ranking of Chinese Financial Institutions
Derbali, Abdelkader - 2017
The purpose of this paper is to analyze the systemic risk of the Chinese financial institutions following the financial crisis of 2007. We estimate the systemic risk of a sample composed by 70 Chinese financial institutions through the period beginning on 02 January 2008 to 30 June 2015. We...
Persistent link: https://www.econbiz.de/10012942485
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The Alchemy of Cdo Credit Ratings
Benmelech, Efraim - 2010
Collateralized Loan Obligations (CLOs) were one of the largest and fastest growing segments of the structured finance market, fueling the 2003-2007 boom in syndicated loans and leveraged buyouts. The credit crisis brought CLO issuance to a halt, and as a result the leveraged loan market dried...
Persistent link: https://www.econbiz.de/10012757547