Rating Change Probabilities: An Empirical Analysis of Sovereign Ratings - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Rating Change Probabilities: An Empirical Analysis of Sovereign Ratings write by Alex Bergen. This book was released on 2014-02-01. Rating Change Probabilities: An Empirical Analysis of Sovereign Ratings available in PDF, EPUB and Kindle. This study analyzes the determinants of rating changes and the variables' marginal effects on rating change probabilities. Based on the results, it presents transition matrices by computing transition probabilities. Furthermore, this study analyzes subsamples of the data set, conditional on the business cycle and the economic strength of a country, by using interaction effects. The Author of this study thereby verifies whether or how the transition matrices change by including interaction effects. He applies a latent variable approach, using an ordered probit model, to calculate the effects of different variables on the probabilities of rating changes.
Are Rating Agencies Powerful? An Investigation Into the Impact and Accuracy of Sovereign Ratings
Are Rating Agencies Powerful? An Investigation Into the Impact and Accuracy of Sovereign Ratings - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Are Rating Agencies Powerful? An Investigation Into the Impact and Accuracy of Sovereign Ratings write by Mr.John Kiff. This book was released on 2012-01-01. Are Rating Agencies Powerful? An Investigation Into the Impact and Accuracy of Sovereign Ratings available in PDF, EPUB and Kindle. We find that Credit Rating Agencies (CRA)'s opinions have an impact in the cost of funding of sovereign issuers and consequently ratings are a concern for financial stability. While ratings produced by the major CRAs perform reasonably well when it comes to rank ordering default risk among sovereigns, there is evidence of rating stability failure during the recent global financial crisis. These failures suggest that ratings should incorporate the obligor's resilience to stress scenarios. The empirical evidence also supports: (i) reform initiatives to reduce the impact of CRAs' certification services; (ii) more stringent validation requirements for ratings if they are to be used in capital regulations; and (iii) more transparency with regard to the quantitative parameters used in the rating process.
The Rating Game: an Empirical Assessment
The Rating Game: an Empirical Assessment - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook The Rating Game: an Empirical Assessment write by Filippo Curti. This book was released on 2014. The Rating Game: an Empirical Assessment available in PDF, EPUB and Kindle. The question of whether ratings agencies convey new information to financial markets when they assign new ratings or change previous ratings has been debated for at least 40 years. In this study I first examine equity market, bond market and CDS market reactions to long and short term rating changes from S & P, Fitch and Moody's. I find that not all the credit rating changes affect the market but only those classified as unanticipated. Subsequently, I study whether the regulatory setting, in which the Credit Ratings Agencies work, can possibly affect the financial markets reactions. Lastly I show that the probability of a future rating change is severely affected by different factors proportional hazard rate models.
Ratings, Rating Agencies and the Global Financial System
Ratings, Rating Agencies and the Global Financial System - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Ratings, Rating Agencies and the Global Financial System write by Giovanni Majnoni. This book was released on 2002-08-31. Ratings, Rating Agencies and the Global Financial System available in PDF, EPUB and Kindle. The business of credit ratings began in the United States in the early 1900s. Over time, credit ratings have gradually taken on an expanding role, both in the United States and abroad and in official financial market regulation as well as in private capital market decisions. However, in 1999 the Bank for International Settlements (through its Committee on Banking Supervision) proposed rule changes that would provide an explicit role for credit ratings in determining a bank's required regulatory risk capital. Once implemented, this BIS proposal (often referred to as Basel 2) would vastly elevate the importance of credit ratings by linking the required measure of bank capital to the credit rating of the bank's obligors. With these regulatory changes under active discussion, research into the role for ratings and rating agencies in the global financial system is particularly apropos. Ratings, Rating Agencies and the Global Financial System brings together the research of economists at New York University and the University of Maryland, along with those from the private sector, government bodies, and other universities. The first section of the volume focuses on the historical origins of the credit rating business and its present day industrial organization structure. The second section presents several empirical studies crafted largely around individual firm-level or bank-level data. These studies examine (a) the relationship between ratings and the default and recovery experience of corporate borrowers, (b) the comparability of credit ratings made by domestic and foreign rating agencies, and (c) the usefulness of financial market indicators for rating banks, among other topics. In the third section, the record of sovereign credit ratings in predicting financial crises and the reaction of financial markets to changes in credit ratings is examined. The final section of the volume emphasizes policy issues now facing regulators and credit rating agencies.
Sovereign Ratings
Sovereign Ratings - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Sovereign Ratings write by Alvise Lennkh. This book was released on 2018. Sovereign Ratings available in PDF, EPUB and Kindle. This paper studies the sovereign ratings of 74 countries from 2003 to 2016, disentangling rating drivers into a 'fundamental' and 'judgement' component based on Moody's methodology. We show that the agency applies judgement inconsistently across regions, income, rating levels and factors, time and the direction of rating changes. While downgrades are significantly linked to contemporaneous negative fundamental developments, such as weakening public finances, for upgrades we find evidence of a lagged or 'catching-up' effect. Out of the 29 tested explanatory variables, judgement applied by the rating committee is best explained through government bond yields, real GDP growth, the debt trend and interest payments relative to revenues.
