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Reputations and credit ratings : evidence from commercial mortgage-backed securities

Baghai, Ramin P.; Becker, Bo - In: Journal of financial economics 135 (2020) 2, pp. 425-444

Persistent link: https://www.econbiz.de/10012543096

A libor market model including credit risk under the real-world measure

Lopes, Sara Dutra; Vázquez, Carlos - In: The journal of computational finance 24 (2020) 3, pp. 111-141

Persistent link: https://www.econbiz.de/10012544160

Detecting conflicts of interest in credit rating changes : a distribution dynamics approach

Lee, Wai Choi; Shen, Jianfu; Cheong, Tsun Se; … - In: Financial innovation : FIN 7 (2021), pp. 1-23

In this study, we compare the adjustments of credit ratings by an investor-paid credit rating agency (CRA), represented by Egan-Jones Ratings Company, and an issuer-paid CRA, represented by Moody’s Investors Service, vis-à-vis conflict of interest and reputation. A novel distribution dynamics...

Persistent link: https://www.econbiz.de/10012594496

Information imprecision

Ball, Ryan T.; Cuny, Christine - In: The accounting review : a publication of the American … 96 (2021) 2, pp. 33-53

Persistent link: https://www.econbiz.de/10012508172

Financial adjustments and credit rating changes

Kemper, Kristopher J. - In: Finance research letters 33 (2020), pp. 1-9

Persistent link: https://www.econbiz.de/10012430939

The predictive strength of MBS yield spreads during asset bubbles

Deku, Solomon Y.; Kara, Alper; Semeyutin, Artur - In: Review of quantitative finance and accounting 56 (2021) 1, pp. 111-142

Persistent link: https://www.econbiz.de/10012432632

Can covered bond legislation enhance credit ratings?

Kwong, Max; Leung, David; Wong, Alfred Y. - In: The empirical economics letters : a monthly … 18 (2019) 8, pp. 855-862

Persistent link: https://www.econbiz.de/10012315625

Excess comovement in credit default swap markets : evidence from the CDX indices

Cathcart, Lara; Jahel, Lina el; Evans, Leo; Shi, Yining - In: Journal of financial markets 43 (2019), pp. 96-120

Persistent link: https://www.econbiz.de/10012316303

The relationship between credit ratings and asset liquidity : evidence from Western European banks

Meriläinen, Jari-Mikko; Junttila, Juha - In: Journal of international money and finance 108 (2020), pp. 1-21

Persistent link: https://www.econbiz.de/10012403858

Arbitraging the Basel securitization framework : evidence from German ABS investment

Efing, Matthias - 2016

This paper provides evidence for regulatory arbitrage within the class of asset-backed securities (ABS) based on individual asset holding data of German banks. I find that banks operating with tight regulatory constraints exploit the low risk-sensitivity of rating-contingent capital requirements...

Persistent link: https://www.econbiz.de/10011975264