Avoiding the rating bounce: why rating agencies are slow to react to new information
- 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.
| Author: | Gunter Löffler |
|---|---|
| URN: | urn:nbn:de:hebis:30:3-349910 |
| URL: | http://ww2.odu.edu/bpa/efma/hfrerichs.pdf |
| Document Type: | Conference Proceeding |
| Language: | English |
| Year of Completion: | 2002 |
| Year of first Publication: | 2002 |
| Publishing Institution: | Universitätsbibliothek Johann Christian Senckenberg |
| Release Date: | 2014/09/17 |
| Tag: | conservatism; credit rating; rating agencies; rating migration |
| GND Keyword: | Kreditrisiko; Portfoliomanagement; Gütefunktion; Parametertest; Signifikanzniveau; Statistischer Test; Testtheorie |
| Issue: | Version: May 2002 |
| Page Number: | 25 |
| HeBIS-PPN: | 348151527 |
| Institutes: | Wirtschaftswissenschaften / Wirtschaftswissenschaften |
| Dewey Decimal Classification: | 3 Sozialwissenschaften / 33 Wirtschaft / 330 Wirtschaft |
| Sammlungen: | Universitätspublikationen |
