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CDOs and the Financial Crisis : Credit Ratings and Fair Premia
Wojtowicz, Marcin - 2012
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...
Persistent link: https://www.econbiz.de/10013116323
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A Taxonomic Field Investigation into Induced Bias in Residential Real Estate Appraisals
Diaz, Julian - 2010
A taxonomic approach to field research was developed and utilized to support empirical and experimental research findings into the impact that incentives/pressures to over-value have on systematic valuation bias. An expected no-bias population was defined and valuation judgments from actual,...
Persistent link: https://www.econbiz.de/10013146485
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Rating Assignments : Lessons from International Banks
Caporale, Guglielmo Maria - 2009
This paper estimates ordered logit and probit regression models for bank ratings which also include a country index to capture country-specific variation. The empirical findings provide support to the hypothesis that the individual international bank ratings assigned by Fitch Ratings are...
Persistent link: https://www.econbiz.de/10013158259
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The Forecasting Performance of an Estimated Medium Run Model
Kitlinski, Tobias - 2012
evaluation of the forecast errors shows that the Medium-Term model outperforms the Smets-Wouters model with respect to some key …
Persistent link: https://www.econbiz.de/10013113015
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EU banks rating assignments : is there heterogeneity between new and old member countries?
Caporale, Guglielmo Maria; Matousek, Roman; Stewart, Chris - 2010
We model EU countries' bank ratings using financial variables and allowing for intercept and slope heterogeneity. Our aim is to assess whether "old" and "new" EU countries are rated differently and to determine whether "new" ones are assigned lower ratings, ceteris paribus, than "old" ones. We...
Persistent link: https://www.econbiz.de/10003971004
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EU banks rating assignments : is there heterogeneity between new and old member countries?
Caporale, Guglielmo Maria; Matousek, Roman; Stewart, Chris - 2010
We model EU countries' bank ratings using financial variables and allowing for intercept and slope heterogeneity. Our aim is to assess whether "old" and "new" EU countries are rated differently and to determine whether "new" ones are assigned lower ratings, ceteris paribus, than "old" ones. We...
Persistent link: https://www.econbiz.de/10003974520
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Bottom-up or direct? forecasting German GDP in a data-rich environment
Heinisch, Katja; Scheufele, Rolf - 2013
respective publication delay. In a simulated out-ofsample experiment we evaluate the different modelling strategies conditional … ; nowcasting ; leading indicators ; MIDAS ; forecast combination ; forecast evaluation … Veröffentlichungstermine. In einem simulierten Out-of-Sample-Experiment werden die verschiedenen Modellierungsstrategien bei unterschiedlichem …
Persistent link: https://www.econbiz.de/10009735835
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Rating assignments : lessons from international banks
Caporale, Guglielmo Maria; Matousek, Roman; Stewart, Chris - 2009
This paper estimates ordered logit and probit regression models for bank ratings which also include a country index to capture country-specific variation. The empirical findings provide support to the hypothesis that the individual international bank ratings assigned by Fitch Ratings are...
Persistent link: https://www.econbiz.de/10003821872
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Rating assignments : lessons from international banks
Caporale, Guglielmo Maria; Matousek, Roman; Stewart, Chris - 2009
This paper estimates ordered logit and probit regression models for bank ratings which also include a country index to capture country-specific variation. The empirical findings provide support to the hypothesis that the individual international bank ratings assigned by Fitch Ratings are...
Persistent link: https://www.econbiz.de/10003832133
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CDOs and the financial crisis : credit ratings and fair premia
Wojtowicz, Marcin - 2011
This paper uses the market-standard Gaussian copula model to show that fair spreads on CDO tranches are much higher than fair spreads on similarly-rated corporate bonds. It implies that credit ratings are not sufficient for pricing, which is surprising given their central role in structured...
Persistent link: https://www.econbiz.de/10011383027