Share

Rating Change Probabilities: An Empirical Analysis of Sovereign Ratings

2014-02-01 Business & Economics
Download Rating Change Probabilities: An Empirical Analysis of Sovereign Ratings PDF Online Free

Author :
Release : 2014-02-01
Genre : Business & Economics
Kind : eBook
Book Rating : 567/5 ( reviews)

GET EBOOK


Book Synopsis Rating Change Probabilities: An Empirical Analysis of Sovereign Ratings by : Alex Bergen

Download or read book Rating Change Probabilities: An Empirical Analysis of Sovereign Ratings written by Alex Bergen. This book was released on 2014-02-01. Available in PDF, EPUB and Kindle. Book excerpt: 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

2012-01-01 Business & Economics
Download Are Rating Agencies Powerful? An Investigation Into the Impact and Accuracy of Sovereign Ratings PDF Online Free

Author :
Release : 2012-01-01
Genre : Business & Economics
Kind : eBook
Book Rating : 724/5 ( reviews)

GET EBOOK


Book Synopsis Are Rating Agencies Powerful? An Investigation Into the Impact and Accuracy of Sovereign Ratings by : Mr.John Kiff

Download or read book Are Rating Agencies Powerful? An Investigation Into the Impact and Accuracy of Sovereign Ratings written by Mr.John Kiff. This book was released on 2012-01-01. Available in PDF, EPUB and Kindle. Book excerpt: 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.

A Century of Sovereign Ratings

2011-09-21 Business & Economics
Download A Century of Sovereign Ratings PDF Online Free

Author :
Release : 2011-09-21
Genre : Business & Economics
Kind : eBook
Book Rating : 238/5 ( reviews)

GET EBOOK


Book Synopsis A Century of Sovereign Ratings by : Norbert Gaillard

Download or read book A Century of Sovereign Ratings written by Norbert Gaillard. This book was released on 2011-09-21. Available in PDF, EPUB and Kindle. Book excerpt: The financial difficulties experienced by Greece since 2009 serve as a reminder that countries (i.e., sovereigns) may default on their debt. Many observers considered the financial turmoil was behind us because major advanced countries had adopted stimulus packages to prevent banks from going bankrupt. However, there are rising doubts about the creditworthiness of several advanced countries that participated in the bailouts. In this uncertain context, it is particularly crucial to be knowledgeable about sovereign ratings. This book provides the necessary broad overview, which will be of interest to both economists and investors alike. Chapter 1 presents the main issues that are addressed in this book. Chapters 2, 3, and 4 provide the key notions to understand sovereign ratings. Chapter 2 presents an overview of sovereign rating activity since the first such ratings were assigned in 1918. Chapter 3 analyzes the meaning of sovereign ratings and the significance of rating scales; it also describes the refinement of credit rating policies and tools. Chapter 4 focuses on the sovereign rating process. Chapters 5 and 6 open the black box of sovereign ratings. Chapter 5 compares sovereign rating methodologies in the interwar years with those in the modern era. After examining how rating agencies have amended their methodologies since the 1990s, Chapter 6 scrutinizes rating disagreements between credit rating agencies (CRAs). Chapters 7 and 8 measure the performances of sovereign ratings by computing default rates and accuracy ratios: Chapter 7 looks at the interwar years and Chapter 8 at the modern era. The two chapters assess which CRA assigns the most accurate ratings during the respective periods. Chapters 9 and 10 compare the perception of sovereign risk by the CRAs and market participants. Chapter 9 focuses on the relation between JP Morgan Emerging Markets Bond Index Global spreads and emerging countries’ sovereign ratings for the period 1993–2007. Chapter 10 compares the eurozone members’ sovereign ratings with Credit Default Swap-Implied Ratings (CDS-IRs) during the Greek debt crisis of November 2009–May 2010.

Sovereign Ratings

2018
Download Sovereign Ratings PDF Online Free

Author :
Release : 2018
Genre :
Kind : eBook
Book Rating : /5 ( reviews)

GET EBOOK


Book Synopsis Sovereign Ratings by : Alvise Lennkh

Download or read book Sovereign Ratings written by Alvise Lennkh. This book was released on 2018. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Ratings, Rating Agencies and the Global Financial System

2002-08-31 Business & Economics
Download Ratings, Rating Agencies and the Global Financial System PDF Online Free

Author :
Release : 2002-08-31
Genre : Business & Economics
Kind : eBook
Book Rating : 167/5 ( reviews)

GET EBOOK


Book Synopsis Ratings, Rating Agencies and the Global Financial System by : Giovanni Majnoni

Download or read book Ratings, Rating Agencies and the Global Financial System written by Giovanni Majnoni. This book was released on 2002-08-31. Available in PDF, EPUB and Kindle. Book excerpt: 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.

You may also like...