Climate change can be a source of financial risk. This paper examines how credit rating agencies accepted by the Eurosystem incorporate climate change risk in their credit ratings. It also analyses how rating agencies disclose their assessments of climate change risks to rating users. The paper...

We empirically investigate the benefits of multiple ratings not only at issuance of debt instruments but also during the subsequent monitoring phase. Using a record of monthly credit rating migration data on all U.S. residential mortgage-backed securities rated by Standard & Poor's, Moody's, and...

Although Basel II fortified the first two pillars with market transparency enhancing Pillar III disclosures and encouraged the usage of major Credit Rating Agencies (CRAs) such as Moody’s, Standard and Poor's, and Fitch as quasi governmental authorities to overcome asymmetric informational...

This study explores the role of credit ratings in predicting a bank failure in recent financial crisis. Both logistic regression and Cox proportion model confirm that credit ratings can predict the probability of bank failure, but only two quarters prior to bank failure, relatively sluggish...

This paper looks at the credit rating adjustments on Eurozone banks that followed the post-crisis regulation of bank resolution in Europe in 2014. The empirical assessment analyses within-bank variation using the credit ratings of the major Eurozone banks. The analysis shows that with the...

Credit Rating Agencies (CRAs), an important financial intermediary acts as a gatekeeper to the financial markets by influencing the investor and regulating the issuer’s access to the financial markets. In India, Securities and Exchange board of India (SEBI) brought rating agencies under its...

Credit Rating Agencies (CRAs) acts an important financial intermediary and gatekeeper. They work with regulators in framing policies and laws for regulating the market. They are mentioned in many statutory regulations of SEBI, IRDA, RBI, NSIC etc. There are seven registered credit rating...

This paper investigates the behaviour of credit rating agencies using a natural experiment in monetary policy. We exploit the corporate QE of the Eurosystem and its rating-based specific design which generates exogenous variation in the probability for a bond of becoming eligible for outright...

In this paper, we empirically investigate the impact of intensified competition on rating quality in the credit rating market for residential mortgage-backed securities (RMBS) in the period 2017-2020. We provide evidence that competition between large credit rating agencies (CRAs) (Moody's and...

Credit rating is determined by a borrower's credit risk, but can the rating in itself change a borrower's credit risk in an economically meaningful manner? Despite the theoretical and practical importance of this question, there is limited empirical evidence on this topic since it is hard to...