Credit Rating Agencies

for excellent comments and to Minye Zhang, Dawei Tian and Huanghai Li for outstanding research assistance. The authors also thank seminar participants at the Federal Reserve Board, UCLA, George Washington University, and the 2009 AEA session on the subprime crisis for helpful comments. All errors are our responsibility.

In the article the ratings developed by Moody's Corporation, Standard & Poor's Ratings Services and financial data of Polish windows manufactures were analyzed. Ratings published by international agencies were compared with an independently developed rating. Authors made an attempt to verify the hypothesis whether the internal rating created by means of operational research method, significantly differs from the ratings prepared by international rating agencies. In the article mathematical possibilities of potential changes in credit rating were presented.

Öz Uluslararası kredi derecelendirme kuruluşlarının verdiği ülke kredi notları ülkeler arasındaki fon akımlarının yönünü belirlemede önemli bir görev üstlenmektedir. Özellikle yeni sanayileşen ülkeler gelişimi sürdürülebilir hale getirmek ve gelecekteki yatırımları finanse etmek amacıyla sürekli olarak finansman ihtiyacı duymaktadır. Bu çalışmada, yeni sanayileşen ülkelerin kredi notlarını etkileyen unsurlar ele alınmıştır. Bu unsurların başında ekonomik özgürlük indeks göstergesi olarak ele aldığımız hukukun üstünlüğü, devletin büyüklüğü, mevzuat yeterliliği ve serbest piyasa değişkenleri gelmektedir. Ayrıca ülkelerin gelir düzeylerini kontrol etmek amacıyla gayri safi yurt içi hasılanın büyüme oranı ve makroekonomik düzeylerini kontrol etmek amacıyla enflasyon oranı modele dahil edilmiştir. 1995-2021 dönemine ait veriler kullanılarak hazırlanan panel veri seti üzerinde Driscoll-Kraay Standart Hatalar analizi uygulanarak parametreler tahmin edilmiştir. Yaptığımız analiz sonucunda serbest piyasa göstergesi dışındaki tüm ekonomik özgürlük indeks göstergelerinin ülkelerin kredi notları üzerinde pozitif ve anlamlı etkisi olduğu görülmektedir. Çalışma sonuçları, yeni sanayileşen ülkelerin ekonomik özgürlük unsurlarını iyileştirici hamleler yapmasının ülkelerin risk faktörlerinin düşmesine böylece yatırım yapılabilir ülke kredi notlarına ulaşmasına sağlayacağını öne sürmektedir.

This paper analyses the through-the-cycle rating concept; basically, we try to specify its main characteristics, focusing on the differences with point-in-time ratings. We also discuss the effects of this methodology on the prediction power of default probabilities ...

B ecause of a very weak economy, which lowered tax revenues and raised government spending, Japan's fiscal balance has deteriorated rapidly. The budget, in surplus until 1992, turned negative in 1993, and the deficits continued to worsen, reaching almost 11 percent of GDP in 1998. The government debt-GDP ratio increased by almost 50 percent from 1991 to 1997, and by another 40 percent in the four years after that. By 2000, Japan had the largest ratio among Organization for Economic Co-operation and Development (OECD) member countries.

Identifying industry-specific risk factors that impact creditworthiness in healthcare. 2. Assess the efficacy of the current credit risk models used by JP Morgan Chase. 3. Developing recommendations for improving the predictive accuracy of such models. 4. Proposing strategies to mitigate default risk and optimize credit portfolio performance. • Financial statements, credit reports, and historical performance data of companies involved in the healthcare sector. • Key macro and microeconomic indicators for each sector, including GDP growth, healthcare expenditure, and consumer confidence indices. • JP Morgan Chase's proprietary credit data and risk evaluation tools. • The utilization of statistical models, such as regression analysis and Monte Carlo simulations, serves to elucidate patterns and correlations pertaining to default probabilities. • Sensitivity analysis to estimate the effect of external factors such as changes in interest rates and policies. • Benchmarking against industry standards and competitor models to identify gaps in existing frameworks. Interacted with risk analysts, investment bankers, and industry specialists at JP Morgan Chase to understand the practical challenges and opportunities. (Also included: DCM, SLF, internal/external legal counsel, loan operation specialists) Risk Factors: Increasing R&D costs, dependency on patent protections, and regulatory uncertainties (e.g., FDA approvals and reforms in reimbursement policies). Key Insight: Credit risk models should be based on policy sensitivity analysis to capture changes in regulatory environments. • Difficulty in quantifying qualitative factors such as management expertise and innovation potential. • Limited integration of real-time data, reducing the responsiveness of credit models to sudden market shifts. ` transactions and to track financial histories effectively. • AI and Machine Learning: Implement AI-driven algorithms to identify patterns and correlations beyond human capability, reducing false positives in risk assessments. • Dynamic Portfolio Rebalancing: Regularly review credit portfolios to minimize exposure to high-risk entities. • Early Warning Systems: Automate the detection of potential defaults using leading indicators, such as declining revenues or negative market sentiment. • Client Collaboration: Collaborate closely with borrowers in designing risk-sharing mechanisms that will ensure incentives are aligned to mitigate credit risks. The activation of the aforementioned recommendations makes JP Morgan Chase a leader in high-yield credit risk management. The enhanced models enable the bank to: • Accurately price credit products to reduce default rates but still be competitive. • Strengthen client relationships by offering tailored solutions aligned with sector-specific needs. • Enhance profitability by improving portfolio management practices and achieving risk-adjusted returns. Adaptability and innovation are what will drive the future of credit risk management. Weighing the definite odds of loss or gain through credit risk poses various factors of accountability. Through the adaptation toward upcoming technologies, JP Morgan Chase & Co. can always lead in high-yield investment banking by refining models and tailoring strategies to sector-specific risks. Individualizing into various boroughs allow for pros such as targeted exposure, potential for high returns, strategic allocation, diversification within sectors, and hedging against economic cycles. These upsides ultimately lead to capitalization on significant industry growth through specific economic trends. This research underscores the importance of evolving with market conditions and using data-driven insights to mitigate risks while unlocking opportunities across the healthcare sector. In healthcare, we can see alleviation through diversification of healthcare portfolios across provider types. With changing factors in relation to credit risk, JP Morgan Chase & Co. integrating newer methods of analyzing financials and sector specific evaluations will ultimately lead to a more efficient system of credit risk evaluations through investment banking.

Identifying industry-specific risk factors that impact creditworthiness in healthcare. 2. Assess the efficacy of the current credit risk models used by JP Morgan Chase. 3. Developing recommendations for improving the predictive accuracy of such models. 4. Proposing strategies to mitigate default risk and optimize credit portfolio performance. • Financial statements, credit reports, and historical performance data of companies involved in the healthcare sector. • Key macro and microeconomic indicators for each sector, including GDP growth, healthcare expenditure, and consumer confidence indices. • JP Morgan Chase's proprietary credit data and risk evaluation tools. • The utilization of statistical models, such as regression analysis and Monte Carlo simulations, serves to elucidate patterns and correlations pertaining to default probabilities. • Sensitivity analysis to estimate the effect of external factors such as changes in interest rates and policies. • Benchmarking against industry standards and competitor models to identify gaps in existing frameworks. Interacted with risk analysts, investment bankers, and industry specialists at JP Morgan Chase to understand the practical challenges and opportunities. (Also included: DCM, SLF, internal/external legal counsel, loan operation specialists) Risk Factors: Increasing R&D costs, dependency on patent protections, and regulatory uncertainties (e.g., FDA approvals and reforms in reimbursement policies). Key Insight: Credit risk models should be based on policy sensitivity analysis to capture changes in regulatory environments. • Difficulty in quantifying qualitative factors such as management expertise and innovation potential. • Limited integration of real-time data, reducing the responsiveness of credit models to sudden market shifts. ` transactions and to track financial histories effectively. • AI and Machine Learning: Implement AI-driven algorithms to identify patterns and correlations beyond human capability, reducing false positives in risk assessments. • Dynamic Portfolio Rebalancing: Regularly review credit portfolios to minimize exposure to high-risk entities. • Early Warning Systems: Automate the detection of potential defaults using leading indicators, such as declining revenues or negative market sentiment. • Client Collaboration: Collaborate closely with borrowers in designing risk-sharing mechanisms that will ensure incentives are aligned to mitigate credit risks. The activation of the aforementioned recommendations makes JP Morgan Chase a leader in high-yield credit risk management. The enhanced models enable the bank to: • Accurately price credit products to reduce default rates but still be competitive. • Strengthen client relationships by offering tailored solutions aligned with sector-specific needs. • Enhance profitability by improving portfolio management practices and achieving risk-adjusted returns. Adaptability and innovation are what will drive the future of credit risk management. Weighing the definite odds of loss or gain through credit risk poses various factors of accountability. Through the adaptation toward upcoming technologies, JP Morgan Chase & Co. can always lead in high-yield investment banking by refining models and tailoring strategies to sector-specific risks. Individualizing into various boroughs allow for pros such as targeted exposure, potential for high returns, strategic allocation, diversification within sectors, and hedging against economic cycles. These upsides ultimately lead to capitalization on significant industry growth through specific economic trends. This research underscores the importance of evolving with market conditions and using data-driven insights to mitigate risks while unlocking opportunities across the healthcare sector. In healthcare, we can see alleviation through diversification of healthcare portfolios across provider types. With changing factors in relation to credit risk, JP Morgan Chase & Co. integrating newer methods of analyzing financials and sector specific evaluations will ultimately lead to a more efficient system of credit risk evaluations through investment banking.

This paper analyses whether the introduction of capital requirements for bank government bond holdings increases financial stability by making the banking sector more resilient to sovereign debt crises. Using a theoretical model, we show that a sudden increase in sovereign default risk may lead to liquidity issues in the banking sector. Our model reveals that in combination with a central bank acting as a lender of last resort, capital requirements for government bonds increase the shock-absorbing capacity of the banking sector and thus the financial stability. The driving force is a regulation-induced change in bank investment behaviour.

This paper analyses whether the introduction of capital requirements for bank government bond holdings increases financial stability by making the banking sector more resilient to sovereign debt crises. Using a theoretical model, we show that a sudden increase in sovereign default risk may lead to liquidity issues in the banking sector. Our model reveals that in combination with a central bank acting as a lender of last resort, capital requirements for government bonds increase the shock-absorbing capacity of the banking sector and thus the financial stability. The driving force is a regulation-induced change in bank investment behaviour.

This paper analyses whether the introduction of capital requirements for bank government bond holdings increases financial stability by making the banking sector more resilient to sovereign debt crises. Using a theoretical model, we show that a sudden increase in sovereign default risk may lead to liquidity issues in the banking sector. Our model reveals that in combination with a central bank acting as a lender of last resort, capital requirements for government bonds increase the shock-absorbing capacity of the banking sector and thus the financial stability. The driving force is a regulation-induced change in bank investment behaviour.

This study examines the existing credit rating methodology proposed in the literature to explore the development of a new credit rating model based on the financial variables of the enterprise. The focus is on the period after the financial crisis of 2018. This study aims to develop a credit rating model using neural networking and tests the same for its accuracy. The goal of this study is to address the issue brought up by previous research on subjectivity in the data used to determine creditworthiness. The database for the study includes financial data up to July 2022 from December 2018. A model is created to assess an enterprise's creditworthiness using neural networking. This study first evaluated the existing credit rating models proposed in the literature. Next, based on financial data and neural networking, a model is developed. It was evident that the model developed in this study has an accuracy of 85.16% and 76.47% on train and test data respectively. There exist several models to determine the creditworthiness of borrowers but all failed to address the concern of subjectivity in the data. The model created in this study made use of cutting-edge technology such as neural networking and financial data. This paper's unique approach and model construction based on a comparison of existing models is rare in the literature and justify the originality of this paper with a practical value at the global level.

How does the sovereign credit ratings history provided by independent ratings agencies affect domestic financial sector development and international capital inflows to emerging countries? We address this question utilizing a comprehensive dataset of sovereign credit ratings from Standard and Poor's from 1995-2003 for a cross-section of 51 emerging markets. Within a panel data estimation framework, we examine financial sector development and the influence of sovereign credit ratings provision, controlling for various economic and corporate governance factors identified in the financial development literature. We find strong evidence that our sovereign credit rating measures do affect financial intermediary sector developments and capital flows. We find that i) long-term foreign currency sovereign credit ratings are important for encouraging financial intermediary development and for attracting capital flows. ii) Long-term local currency ratings stimulate domestic market growth but discourage international capital flows. iii) Short-term ratings (both foreign and local currency denominated) retard all forms of financial developments and capital flows. There are important implications in this research for policy makers to encourage the provision of longerterm credit ratings to promote financial development in emerging economies.

Sovereign risk assessment has again captured the attention of international capital markets as the most recent international debt crisis has been resolved and several developing countries are again sourcing funds in the international capital markets. Similar to other credit ratings, sovereign ratings evaluate the relative likelihood that a debtor central government will default on its obligations. The economic information used by, for example, Standard and Poor's to aid in tracking sovereign risk includes; economic data, general government finance data, balance of payments data, and external debt data. This information is also normally available to the public. Thus, the question that has been central to the discussions associated with corporate ratings can also be asked here. Does a sovereign rating simply mirror the existing international market's assessment of country's risk? This research addresses the issue whether sovereign credit ratings provide incremental information to the marketplace. For international equity markets, we find that negative outlook assignments are associated with negative and statistically significant abnormal returns, positive outlook assignments are associated with a statistically significant positive impact on abnormal returns and stable outlooks are not s tatistically significant. Further, when a country is placed on credit watch for negative implications or for a possible downgrade we find that there is a negative and statistically significant market reaction. For international debt markets we find that market reactions to the announcement of credit rating assignments conveyed no new information for ratings associated with below investment grade sovereign bonds, for different sized countries and for emerging markets. The announcement of credit rating assignment is found to provide new and negative information on the announcement date for developed countries and the day after investment grade sovereign bonds. The global market reaction to the announcement of credit rating changes is found to convey no new information for the ratings of upgrade and affirm. However, there is a significantly negative impact on bond returns before the change announcements for rating downgrade.

The article examines the legal liability (administrative and civil) regimes introduced to establish an accountability model for credit rating agencies (CRA). In particular, the article focuses on the limits that hinder the achievement of a comprehensive accountability model for CRA, in which the two functions of deterrence-performed by the ESMA's supervisory power-and interpersonal justice-left to the national private courts-are effective and appropriately counterbalanced. Against the background of the three models envisaged for the interplay of public enforcement and private enforcement (separation, complementarity and integration of the two functions), which reflect models already adopted in the EU, the article explores the possibility of establishing a dialectical relationship between private autonomy and public rules in CRA's liability cases. It does so, on the one hand, by ascertaining the existence of a continuous interaction between public enforcement (ESMA supervision) and private law, of which it provides two examples (the MiFID regulation for investment services and the Standardization Regulation European Union in specific industrial sectors) and, on the other hand, evaluating whether the harmonization of the constituent elements that constitute non-contractual liability or of the procedural rules in appeals for purely pecuniary damages is possible at a European level. L'articolo esamina i regimi di responsabilità amministrativa e civile fino ad ora introdotti dal legislatore europeo al fine di predisporre un modello di responsabilità adeguato per le agenzie di rating del credito (CRA). In particolare, si sofferma sui limiti che ostacolano la

The article focuses on the civil liability of credit rating agencies (CRAs) in a comparative way. It starts from the historical evolution of CRAs as international standard setters to justify an economic rationale for their liability regime. It discusses the statutory law introduced in the US and the EU for CRA's civil liability and analyses the approaches of common law and civil law to private enforcement. The analysis shows that common law countries are better equipped to tackle global market challenges since the judicial reforms of certain common law courts have been more effective than statutory rules implemented in many civil law countries. For an effective private enforcement, the EU countries must harmonise national legal traditions of private law and procedural law tools. Such a result can be achieved not much through statutory intervention but especially through developing new interpretative tools that might best assist the civil law courts.

The failure of credit rating agencies to properly assess risks of complex financial securities was instrumental in setting off the global financial crisis. This paper studies the incentives of companies and rating agencies and argues that the way the current rating market is organized may provide agencies with intrinsic disincentives to accurately report credit risk of securities they rate. Informational inefficiency is only enhanced when rating agencies function as an oligopoly or when they rate structured products. We discuss possible market and regulatory solutions to these problems.

South Africa is under threat of a downgrade to its sovereign credit rating since Standard and Poors(S&P) lowered its foreign-currency long-term credit rating from BBB to BBB- in June 2014, with Fitch following suit in December 2015. Moody’s,the third major global rating agency, maintained South Africa’s credit rating one notch above S&P and Fitch, or two notches above sub-IG. With economic growth continuing to slow and perceptions of high policy uncertainty, some observers expected S&P or Fitch to remove South Africa’s high-prized investment grade credit rating during the rating review that ended in June 2016. Instead, both raters (including Moody’s) confirmed their previous assessments. While the ghost of a down grade has been banished for now it will continue to haunt South Africa until the next rating decision of S&P and Fitch in December 2016. This Note explores what would likely have happened if South Africa had been downgraded to sub-IG by S&P or Fitch (or both) in June 2016,f...

Banks and other financial institutions which were "too-big- to-fail" (TBTF) played a central role in the Global Financial Crisis of 2007– 2009. The article lays out how misguided policies enabled banks to grow both in size as well as in complexity and therefore acquire TBTF status, particularly in the 10-year period preceding the crisis. The article then proceeds by detailing how an ill-designed policy framework, relying on supposed market approaches to regulation – including self-regulation and credit rating agencies – enabled TBTF financial institutions to game the system. They were thereby able to exploit the negative externalities which the flawed policy framework – in connection with TBTF status – had granted to large, systemically important financial institutions. The article therefore identifies defective government policies as the chief cause of the financial crisis of 2007–2009, revealing an urgent need for financial sector reform.

If rating agencies add no new information to markets, their actions are not a public policy concern. But as rating changes may be anticipated, testing whether ratings add value is not straightforward. This paper argues that ratings and spreads are both noisy signals of fundamentals and suggest ratings add value if, controlling for spreads, they help explain other variables. The paper additionally analyzes the different actions (ratings and outlooks) of the three leading agencies for sovereign debt, also considering the differing effects of more or less anticipated events. The results are consistent across a wide range of tests. Ratings do matter and hence how the market for ratings functions may be a public policy concern.

We study the impact of changes in sovereign ratings and outlooks on international capital markets using a comprehensive database of 34 countries, covering the major regions in the world over the period 1990-2000. We find the rating agencies provide financial markets with new tradable information. Specifically, they affect not only the instrument being rated (bonds) but also stocks. Interestingly, bond markets react differently than stock markets in many respects. We find, only for bond market returns, a positive impact is significant when the economic outlook is upgraded and outlook changes appear to be at least as important as rating changes. In addition, downgraded ratings and economic outlooks occur mainly during bond market downturns, raising a possibility that rating agencies may exacerbate a bond bear market. Only downgrade has a discernible impact on equity and bond returns and the effects of rating announcement are significantly asymmetric. On equity returns, the market responses of downgrade are more pronounced in the cases of high inflation, low fiscal balance, and local currency debt; in contrast, the market responses of downgrade across class are more pronounced in the cases of low current account and foreign currency debt. On bond returns, the market responses of downgrade are more pronounced in the cases of a relatively ailing economy as proxied by emerging market, high inflation, and low current account; on the other hand, the market responses of downgrade across class are more pronounced in the cases of a relatively healthy economy as proxied by low inflation, high liquidity, and during non-crisis period. This study has important implications for investors' international asset allocation and for regulatory agents such as the Basel

Il contributo prende le mosse dall’attuale quadro regolatorio applicabile ai sustainability-linked bonds, individuandone punti deboli – che espongono gli investitori a comportamenti opportunistici degli emittenti – e aree di possibile miglioramento.
Viene dunque indagato quale sia l’approccio preferibile per addivenire ad un
allineamento tra gli incentivi di emittenti e finanziatori, valutando inoltre quale possa essere il ruolo della regolazione al riguardo. Ci si interroga, infine, sulla funzione degli strumenti privatistici di tutela a disposizione degli investitori al fine di raggiungere tale equilibrio.

The regulation of the credit rating in Brazil is recent, and there are still only seven credit rating agencies (“CRAs”) registered or recognized by the Brazil’s Securities Commission (Comissão de Valores Mobiliários – “CVM”) that operate and compete in this market: the so-called ‘Big Three’ (Moody’s, Standard & Poor’s, and Fitch Ratings), and four other local agencies (Austin Rating, Liberum Ratings, SR Rating and Bells & Bayes).

Although the regulatory framework provided by CVM to the CRA’s activities is relatively new, the substantive and procedural laws governing liability regimes in Brazil are well-established and have been consistently interpreted by the Judiciary.

Therefore, the purpose and main contribution of this chapter is to provide a description of the regulatory and legislative framework governing the liability regime of CRAs in Brazil, as well as an examination of the relevant case law.

States contained in, or mandated by, the 2010 Dodd-Frank Act. 1 It will present the most important changes in legislation designed to prevent a collapse of the financial system similar to the 2007-8 crisis. This evaluation will be based on the analytical framework of financial fragility proposed in the work of Hyman Minsky. Financial regulation in the United States has always been unique. It has not followed European examples, as has been the case in many other former European colonies. In particular, as a rebellious colony it rejected British regulation and financial structure. It did not introduce a National Bank or a Central Bank to govern the financial system or act as the financial agent of government until the beginning of the 20 th century. Indeed, when something resembling a National Bank was created it had a regionally diversified governance structure that combined federal government and private bankers across 12 regions. It was originally a mechanism to pool bank reserves, rather than something resembling the Bank of England or any European National Bank. In order to understand the recent

Th e goal of this paper is investigating determinants of the sovereign credit ratings in Central and Eastern European countries (CEEC). Sovereign credit ratings are important to determine a country’s fi nancial ability to meet its obligations. It is important to know which determinants aff ect sovereign credit ratings and consequently the conditions under which a country can borrow on the fi nancial market. Th e analysis is made on the sample of 11 CEEC countries over a period of 17 years, from 2000 to 2016. Th e determinants of three main global credit agencies (Standard and Poors’s Rating Services, Moody’s and Fitch) have been investigated using the linear OLS method for unbalanced panel. Th e results of the analysis have shown that GDP growth, GDP per capita, infl ation, unemployment, public debt to GDP and external debt to GDP variables play a major role in determining sovereign credit ratings.

The goal of this paper is investigating determinants of the sovereign credit ratings in Central and Eastern European countries (CEEC). Sovereign credit ratings are important to determine a country’s financial ability to meet its obligations. It is important to know which determinants affect sovereign credit ratings and consequently the conditions under which a country can borrow on the financial market. The analysis is made on the sample of 11 CEEC countries over a period of 17 years, from 2000 to 2016. The determinants of three main global credit agencies (Standard and Poors’s Rating Services, Moody’s and Fitch) have been investigated using the linear OLS method for unbalanced panel. The results of the analysis have shown that GDP growth, GDP per capita, inflation, unemployment, public debt to GDP and external debt to GDP variables play a major role in determining sovereign credit ratings.

In this paper we study the relationship between price stability and financial stability. We try to determine whether asset prices are useful indicators for determining future inflation rates and we analyze the tensions in the interbank market during the last five years by means of a GARCH (1,1) model. The results show that the interest rate leads to a decrease in the inflation rate, while oil and real estate prices give a positive impulse. Before the crisis, Euribor-Eoniaswap spread had a low volatility. But the intervention of central banks by injecting liquidity into the banking system led to a considerable increase in its volatility. Another explanation for the evolution of this phenomenon is due to the loss of control by the ECB on the MBR and Eoniaswap spread.

During the financial crisis of 2008, the financial markets would have been better served if the credit rating agency industry had been more competitive. We present evidence that suggests the Securities and Exchange Commission's designation of Nationally Recognized Statistical Rating Organizations (NRSROs) inadvertently created a de facto oligopoly, which primarily propped up three firms: Moody's, S&P, and Fitch. We also explain the rationale behind the NRSRO designation given to credit rating agencies (CRAs) and demonstrate that it was not intended to be an oligopolistic mechanism or to reduce investor due diligence, but rather was intended to protect consumers. Although CRAs were indirectly constrained by their reputation among investors, the lack of competition allowed for greater market complacency. Govern-ment regulatory use of credit ratings inflated the market demand for NRSRO ratings, despite the decreasing informational value of credit ratings. It is unlikely that this sort of regulatory framework could result in anything except misaligned incentives among economic actors and distorted market information that provides inaccurate signals to investors and other financial actors. Given the importance of our capital infrastructure and the power of credit rating agencies in our financial markets, and despite the good intentions of the uses of the NRSRO designation, it is not worth the cost and should be abolished. Regulators should work to eliminate regulatory reliance on credit ratings for financial safety and soundness. These regulatory reforms will, in turn, reduce CRA oligopolistic power and the artificial demand for their ratings.

Abstract: In this paper, we argue that the financial markets would have been better served had the credit rating agency industry been more competitive. We will show that the Securities and Exchange Commission's (SEC) designation of Nationally Recognized ...

We investigate the relationship between a bank's rating and its business model and hypothesize that relationship changed through the crisis. We use bank ratings by Fitch, Moody's and S&P's from 2006 to 2009 and proxy the business model via an index given by a banks' traditional income share in total income. In a sample of 241 listed banks from 39 countries, controlling for sovereign ratings and other bank characteristics, we find that banks with higher values of the index had: (1) similar ratings to other banks until 2007; (2) better rating performance through 2008-2009. The evidence supports our hypothesis.

Nel solo anno 1960. 17 stati africani su un totale di cinquantaquattro conquistarono l'indipendenza. Perché dopo aver riconquistato faticosamente la  sovranità politica non fu mai restituita loro quella  economica?. Come è avvenuto tutto ciò? Di chi la responsabilità e a chi i vantaggi se l'Africa, mantenuta a lungo nel limbo linguistico dei paesi in via di sviluppo è rientrata nella categoria delle semicolonie?

We present a continuous-time maximum likelihood estimation methodology for credit rating transition probabilities, taking into account the presence of censored data. We perform rolling estimates of the transition matrices with exponential time weighting with varying horizons and discuss the underlying dynamics of transition generator matrices in the longterm and short-term estimation horizons.

Ülkeler yaşlanan nüfus, yeni hastalık koşullarının ortaya çıkışı ve tıbbi teknolojinin gelişmesi nedeniyle artan sağlık harcamalarına bağlı olarak kaynaklarının önemli bir kısmını sağlık hizmetlerine tahsis etmektedir. Bu kapsamda özellikle son yıllarda sağlık alanında etkinlik ölçümüne yönelik yapılan analizler önem kazanmaktadır. Sağlık hizmetlerinde etkinliğin gerçekleştirilmesi ekonomik istikrar ve büyüme için en önemli koşullardan biri olup, her ülkenin sağlık politikalarını belirlerken bu kaideyi göz önünde bulundurması gerekmektedir. Sağlık harcamalarındaki artış her ülkede farklı etmenlere bağlı olarak devam ederken, sistemlerin etkinliğini yükselten uygulamalara yönelmeyen ülkelerin hem sağlık sistemlerinde hem de sosyal ve ekonomik göstergelerinde olumsuzlukların gözlenebileceğini ileri sürmek mümkündür. Bu noktada her sistem için kaynakların verimli kullanılıp kullanılmadığını değerlendirmek ve ülkeler arasında karşılaştırma yaparak sistemlerin başarısını ölçmek, etkinliği artıran politikaların belirlenebilmesi için büyük önem arz etmektedir. Bu doğrultuda ortaya konan "Finansman Modellerine Göre Sağlık Sistemlerinin Karşılaştırmalı Analizi" isimli çalışmada sağlık sistemlerinin etkinliği Veri Zarflama Analizi ile karşılaştırılarak, sistemlerin etkinlik ve etkinsizlik gerekçeleri değerlendirilmiştir.

The Financial Economists Roundtable (FER) is a group of senior financial economists, who have made significant contributions to the finance literature and seek to apply their knowledge to current policy debates. The Roundtable focuses on microeconomic issues in investments, corporate finance, and financial institutions and markets, both in the U.S. and internationally. Its major objective is to create a forum for intellectual interaction that promotes in-depth analyses of current policy issues in order to raise the level of public and private policy debate and improve the quality of policy decision.

Twenty years ago, Safe and Soundness Banking studied how the supervisory environment could be improved to enhance financial stability, primarily in the U.S. context. Some of the Report's recommendations were adopted, but not all. This paper identifies some topics that should be studied in a 21 st-century version of Safe and Soundness Banking.

The aim of this study is to reveal the transformation of corruption into an economic problem in the historical process and the effects of international economic relations (foreign trade and foreign direct investment) on corruption. In accordance with this purpose, the relationship between perceived corruption, measured by ICRG and CPI indices, and foreign trade and foreign direct investment is evaluated through panel data analysis. Within the scope of analysis, the countries are evaluated in four basic categories according to 2017 income classification of the World Bank. The model established for the ICRG index is found significant in low-income countries. In these countries, increase in exports causes increase the corruption. In low-middle income countries increase in imports reduces the corruption while increase in exports causes increasing the corruption in high-middle income countries. In order to assess the impact of the customs duties ICRG and CPI models for the 60 countries that aren't categorized in 2003-2015 periods have significant results. In both models, it is seen that increase in exports decreases the corruption while increase in customs duties rates increase the corruption.

We present a new theoretical model that sheds light on why CDO tranche spreads widen during credit crunch periods. In the model, firms’ risk taking is endogenous and credit ratings arise from an investigation process that is designed to maximize the proportion of firms with high ratings (Bayesian persuasion). We show that the rating agency changes rating standards over the business cycle. If the economy enters a recession, the deteriorating quality of fundamentals implies that debt issued in booms may not be incentive compatible with low-risk behavior. In this case, the rating agency undertakes a more stringent rating investigation to increase the precision of ratings and hence to reduce the cost of capital with good ratings. Highly rated firms can only realize the benefits of more precise ratings by calling existing debt and issuing lower cost debt. This may not be possible during a credit crunch, and hence the resulting high risk strategy by firms in such periods implies that seni...

w okresie ostatnich trzydziestu lat w systemie finansowym wskutek nadmiernego wykorzystania mechanizmów lewarowania nawarstwił się gigantyczny dług. Doszło do alienacji rynków finansowych od sfery realnej gospodarki. Powstały nierównowagi, które doprowadziły do globalnego kryzysu. Jeśli chodzi o mechanizm przebiegu kryzysu, to uzależniony jest on od tempa i skali przenoszenia zjawisk. w tym względzie sporą rolę odgrywa efekt zarażania (contagion effect). Sieć powiązań finansowych i łatwość przenoszenia informacji przyspieszają rozprzestrzenianie się kryzysu, który jest potęgowany przez strach, panikę i zachowania stadne. w 2011 r. globalny kryzys finansowy przeszedł w fazę nasilonego kryzysu zadłużenia państw strefy euro. Taka sytuacja rodzi wieloaspektowe konsekwencje dla podmiotów gospodarczych. Dlatego zostaną omówione mechanizmy rozprzestrzeniania się kryzysu przy wykorzystaniu koncepcji zarażania.

In this paper, we provide a novel rationale for credit ratings. The rationale that we propose is that credit ratings can serve as a coordinating mechanism in situations where multiple equilibria can obtain. We show that credit ratings provide a "focal point" for firms and their investors. We explore the vital, but previously overlooked implicit contractual relationship between a credit rating agency and a firm. Credit ratings can help fix the desired equilibrium and as such play an economically meaningful role. Our model provides several empirical predictions and insights regarding the expected price impact of ratings changes, the discreteness in funding cost changes, and the effect of the focus of organizations on the efficacy of credit ratings.

Bu çalışmanın temel amacı Balkan ülkelerinin makroekonomik ve finansal yapısını dönemsel bir kriz olan COVID-19 sürecini (2020-2022) içerecek şekilde öncelikle teorik boyutta söz konusu ekonomilerin izledikleri para politikalarını mercek altına almaktır. Bu amaçla, ilgili ülkelerin merkez bankalarının para politikalarına ilişkin pandemi dönemindeki aylık verileriyle makroekonomik ve finansal performansları değerlendirilmektedir. Teorik boyutun ardından nicel araştırma metodu kullanılıp 2020Q1-2022Q1 dönemleri arası çeyreklik verilerle seçilmiş on Balkan ülkesi üzerinde Arellano ve Bond/Blundell ve Bover iki aşamalı sistem genelleştirilmiş momentler tahmincisi ile panel veri analizi uygulanmıştır. Çalışmada on iki Balkan ülkesi teorik analizi neticesinde açık piyasa işlemleri, reeskont oranı, zorunlu karşılık oranı, disponibilite oranı, politika faiz oranı gibi para politikası araçları incelenerek, COVID-19'un yalnızca bir sağlık krizi olarak kalmadığı, iktisadi ve toplumsal alanlar başta olmak üzere tüm sosyoekonomik ilişkileri doğrudan etkilediği sonucuna ulaşılmıştır. Panel veri analizi kapsamında ise Karadağ ve Kosova ülkeleri haricindeki on Balkan ülkesi için 2020Q1-2022Q1 çeyreklik dönemleri için Yeni Keynesyen Phillips Eğrisi teorisi çerçevesinde enflasyon, işsizlik ve referans politika faiz oranı üzerindeki etkisi araştırılmıştır. Arellano Bond Testi çerçevesinde enflasyonun bir dönem gecikmeli değeri ile kurulan modelde pandemi döneminin bir etkisi olarak düşük faiz oranları izlendiğinden faiz oranlarındaki bir birimlik artışın enflasyon oranlarını 0,75 oranında arttırdığı gözlemlenmiş, işsizlik oranındaki bir birimlik artışın ise enflasyon oranını 0,20 oranında azalttığı sonucuna ulaşılarak Philips teorisiyle de örtüşen bulgulara erişilmiştir.

Bu çalışmada çeşitli kurumlar tarafından gerçekleştirilen TÜFE ve ÜFE tahminlerinin optimalliği Mincer-Zarnowitz regresyonu kullanılarak test edilmektedir. Bununla birlikte uzun vadede başarılı tahminler gerçekleştirdiği belirlenen kurumların tahminlerinin etkinliği Diebold-Mariano testi uygulanarak karşılaştırılmakta ve en iyi tahmini gerçekleştiren kurumlar belirlenmektedir.

Bu çalışmada çeşitli kurumlar tarafından gerçekleştirilen TÜFE ve ÜFE tahminlerinin optimalliği Mincer-Zarnowitz regresyonu kullanılarak test edilmektedir. Bununla birlikte uzun vadede başarılı tahminler gerçekleştirdiği belirlenen kurumların tahminlerinin etkinliği Diebold-Mariano testi uygulanarak karşılaştırılmakta ve en iyi tahmini gerçekleştiren kurumlar belirlenmektedir.

This paper examines whether the oversight provided by the SEC over commercial banks was appropriate in the period immediately preceding the end of the recent real-estate boom. The approach followed here is to first identify the variables that are of interest to those who ...

This research significantly contributes to the understanding of credit ratings in Vietnam's
developing capital market. It explores the impact of credit ratings on lenders' decision-making
processes and highlights the role of credit ratings in promoting financial discipline in the
Vietnam market, thereby determining the need for Vietnam's capital market. The study
provides an assessment of an issuer's creditworthiness, enabling both domestic and
international investors to make informed decisions about potential investments. From these
contexts and market forces, we also identify the root causes of the current challenges facing
Vietnam's credit rating instrument. The research methodology includes a review of established
theories worldwide regarding the necessity and role of credit ratings in the development of
national economies and we also collect primary data focusing on the need to use credit ratings,
Evaluations of current results from participants in capital market. The research team conducted
a detailed examination of the impacts of credit ratings on the capital market and the issue of
information asymmetry in Asian countries with developed capital markets and similar
characteristics to Vietnam. Based on this analysis, the research team synthesizes existing
knowledge on the necessity and current situation, identified similarities and differences, and
evaluated whether credit ratings are necessary for Vietnam's capital market and their direct and
indirect impacts.

Corporate Social Responsibility has gained vital attention in the modern corporate settings. In this phenomena, Triple Bottom Line is concerned as a vigorous component when it comes to the corporate practice aligned with CSR. But in most cases, CSR is practiced deviating from its original idea. Thus, this research is carried out with the purpose of finding how far the triple bottom line is practiced within the context of corporate Social Responsibility with special reference to listed companies in CSE Sri Lanka. This research is basically considered as a deductive research and thereby it becomes an explanatory type research. Data were gathered using a structured questionnaire with 32 questions. Fifty listed companies were selected under main four industry categories, namely banking, energy, retailing, food beverage and tobacco. Four hypotheses were formed and tested using correlation and all the hypotheses were accepted.