TY  - CONF
A1  - Löffler, Gunter
T1  - Avoiding the rating bounce: why rating agencies are slow to react to new information
N2  - Rating agencies state that they take a rating action only when it is unlikely to be reversed shortly afterwards. Based on a formal representation of the rating process, I show that such a policy provides a good explanation for the puzzling empirical evidence: Rating changes occur relatively seldom, exhibit serial dependence, and lag changes in the issuers’ default risk. In terms of informational losses, avoiding rating reversals can be more harmful than monitoring credit quality only twice per year.
KW  - credit rating
KW  - rating agencies
KW  - conservatism
KW  - rating migration
KW  - Kreditrisiko
KW  - Portfoliomanagement
KW  - Gütefunktion
KW  - Parametertest
KW  - Signifikanzniveau
KW  - Statistischer Test
KW  - Testtheorie
Y1  - 2002
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/34991
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30:3-349910
UR  - http://ww2.odu.edu/bpa/efma/hfrerichs.pdf
IS  - Version: May 2002
ER  -