Arbeitspapier
An equilibrium model of credit rating agencies
We develop a model of credit rating agencies (CRAs) based on reputation concerns. Ratings a ffect investors' choice and, thereby, also issuers' access to funding and default risk. We show that in equilibrium - the informational content of credit ratings is inferior to that of CRAs' private information. We fi nd that CRAs have a pro-cyclical impact on default risk: in a liquidity boom CRAs help resolve investors' coordination problem, and lower the probability of default; in a liquidity crunch CRAs raise the probability of default. Furthermore, rating standards tend to be pro-cyclical, while biased CRA-incentives will ultimately be self-defeating.
- Sprache
-
Englisch
- Erschienen in
-
Series: Memorandum ; No. 01/2013
- Klassifikation
-
Wirtschaft
Investment Banking; Venture Capital; Brokerage; Ratings and Ratings Agencies
Bankruptcy; Liquidation
Asymmetric and Private Information; Mechanism Design
Noncooperative Games
- Thema
-
credit rating agencies
global games
coordination failure
Ratingagentur
Kreditwürdigkeit
Gleichgewicht
Nichtkooperatives Spiel
Asymmetrische Information
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Holden, Steinar
Natvik, Gisle James
Vigier, Adrien
- Ereignis
-
Veröffentlichung
- (wer)
-
University of Oslo, Department of Economics
- (wo)
-
Oslo
- (wann)
-
2013
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:45 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
- Holden, Steinar
- Natvik, Gisle James
- Vigier, Adrien
- University of Oslo, Department of Economics
Entstanden
- 2013
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