Using a structural model of default, I derive rating characteristics if ratings are meant tolook ‘through the cycle’ as opposed to being based on the borrowers’ current condition.The through-the-cycle method, which is employed by most rating agencies, requires aseparation of permanent and...

How do ratings fit in?, Financial crisis Issues, Financial Crisis Impact

Rating agencies learned their lessons, insurance ratings less affected than other (banks, MBS), insurance ratings will remain an important part of financial markets...until a new black swan emerges...

This paper examines the role of bond ratings and the effects of rating-based regulations in thecorporate bond market. Exploiting an unanticipated mechanical change in how the benchmarkLehman bond indices are constructed in 2005, we show that rating-induced market segmentationof the bond market...

Der Markt für Hybridkapital hat sich in den letzten Jahren rasant entwickelt. Hybridkapital kann bei richtiger Ausgestaltung die Vorteile von Eigen- und Fremdkapital vereinen. Vor allem für deutsche Unternehmen, die im internationalen Vergleich eine niedrige Eigenkapitalquote aufweisen, kann...

We use dynamic panel analysis to examine whether credit rating agencies achieve what they claim to achieve, namely, look into the future when assigning their ratings. We find that Moodey's ratings help predict individual financial ratios over a horizon of up to five years. Ratings also predict a...

Seit einigen Jahren ist im Gefolge von Basel II das Thema Rating in der (wirtschafts-)politischen ebenso wie in der wissenschaftlichen Diskussion. Die Intensität der Auseinandersetzungen variiert dabei zwar im Zeitablauf, aber ganzin den Hintergrund getreten ist die Thematik seit mindestens...

In this paper, we propose a model of credit rating agencies using the global gamesframework to incorporate information and coordination problems. We introduce arefined utility function of a credit rating agency that, additional to reputationmaximization, also embeds aspects of competition and...

Credit Rating Agencies play a key role in European capital markets today, publishing ratings on the creditworthiness of issuers/issues of debt securities. Independent, objective and internationally consistent credit ratings raise the integrity, transparency and competitiveness of capital...

Credit rating agencies (CRAs) very often have been criticized for announcing inaccurate credit ratings and are suspected of being exposed to conflicts of interest. Despite these objections CRAs remained largely unregulated. Based on Pagano & Immordino (2007), we study the optimal regulation of...