We empirically investigated the impact of regulatory risk retention methods on credit ratings and pricing at issuance using a sample of European securitization tranches issued in the period 2011-2021. European regulation is based on the assumption that all risk retention methods homogenously...

This paper analyzes influences on the credit standing of Multilateral Development Banks (MDBs), specifically the quality, diversification and single name concentration of their portfolios, and on the market practice known as Preferred Creditor Status (PCS), whereby sovereigns that default on...

We investigate how the link between bond spreads and credit ratings is affected by the credit cycle. Using a simple model of the credit assessment process, we show that when the debt market is more opaque, the information content of ratings becomes poorer, creating an incentive for investors to...

We investigate whether credit rating agencies (CRAs) and investors price the extent to which municipal bond ratings are explainable using public information. We use an ordinal logistic regression to estimate the expected and unexpected portions of bond ratings, and find that both CRA fees and...

This paper proposes a set of indicators relevant for the risk characteristics of covered bonds, as based on granular publicly available transparency data. The indicators capture various aspects of cash flow risks related to the issuer, the cover pool and the payment structure. They offer unified...

As supply chain channels physical, financial, and information flows as well as associated risks, a firm’s supply chain information should be helpful in understanding and predicting its credit risks. Credit ratings as an approximate but important measure of corporate credit risks have been...

We investigate whether credit rating agencies incorporate climate risk in their rating models. As climate risk is not well defined, we implement several identification strategies using a sample of U.S. cities whose creditworthiness should vary with climate risk–related disruptions to their...

During the past forty years, the simultaneous, symbiotic growth of financial innovation, disintermediation and deregulation has created an environment with extremely complex, opaque investment instruments. That system has now collapsed. At the very center of the crisis are a small group of...

Recently, banking literature has had a quest for appropriate pricing of bank loans under the new Basel II rules and has been in pursuit of possible outcomes for undertaking such credit risk. In this paper, we propose a simplified formula to price bank's corporate loans, aiming at making bank...