Arbeitspapier
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 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.
- Sprache
-
Englisch
- Erschienen in
-
Series: Working Paper Series: Finance & Accounting ; No. 97
- Klassifikation
-
Wirtschaft
Banks; Depository Institutions; Micro Finance Institutions; Mortgages
- Thema
-
conservatism
credit rating
rating agencies
rating migration
Kreditwürdigkeit
Informationsverhalten
Kreditrisiko
Schätzung
Theorie
Welt
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Löffler, Gunter
- Ereignis
-
Veröffentlichung
- (wer)
-
Johann Wolfgang Goethe-Universität Frankfurt am Main, Fachbereich Wirtschaftswissenschaften
- (wo)
-
Frankfurt a. M.
- (wann)
-
2002
- Handle
- URN
-
urn:nbn:de:hebis:30-18005
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Löffler, Gunter
- Johann Wolfgang Goethe-Universität Frankfurt am Main, Fachbereich Wirtschaftswissenschaften
Entstanden
- 2002
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