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Rating agencies state that they take a rating action only when it is unlikely to bereversed shortly afterwards. Based … on a formal representation of the rating process, Ishow that such a policy provides a good explanation for the empirical … terms of informational losses, avoiding rating reversals can bemore harmful than monitoring credit quality only twice per …
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Surveys on the use of agency credit ratings reveal that most investors believe that rating agencies are relatively slow …
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This paper analyzes the association between aggregate default and recovery rates on credit assets, and seeks to empirically explain this critical relationship. We examine recovery rates on corporate bond defaults, over the period 1982-2002.(...)
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This paper analyzes the impact of various assumptions about the association between aggregate default probabilities and the loss given default on bank loans and corporate bonds, and seeks to empirically explain this critical relationship.(...)
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This is an updated and revised paper from the authors´ report on An Analysis and Critique of the BIS Proposal on Capital Adequacy and Ratings [S-CDM-00-02] (submitted to the BIS and published in the Journal of Banking & Finance 25:1 January, 2001).(...)
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Internal credit ratings are expected to gain in importance because of their potential use for determining regulatory capital adequacy and banks increasing focus on the risk-return profile in commercial lending. Whereas the eligibility of financial factors as inputs for internal credit ratings is...
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Das Auslaufen der EU-Milchgarantiemengenregelung (im Folgenden: Milchquotenregelung) im Jahr 2015 erfordert von den Milcherzeugern Anpassungsmaßnahmen. Vermutlich werden diese Anpassungsmaßnahmen zu strukturellen Veränderungen sowohl auf regionaler als auch auf betrieblicher Ebene führen. Im...
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