First, we find that rating downgrades result in an increase in bank systemic risk, whereas upgrades do not proportionally reduce systemic risk. Second, we document that the positive relationship between rating downgrades and systemic risk can be mitigated by accounting-based stability factors, such ...
Risk measurement issues loomed large during the 2007-08 financial crisis, as the massive, unprecedented number of downgrades of AAA senior bond tranches inflicted severe losses on banks, calling into question the credibility of Rating Agencies. I discuss the limits of the standard risk frameworks ...
“The stable outlook on KeyCorp reflects our view that — at the current rating level — the company is well positioned to absorb tougher operating conditions for regional banks, which we think may pressure KeyCorp’s profitability and funding profile before gradually abating over the...
During the global financial crisis 2007–09 it became clear that many of the then structured finance ratings had been based on overly optimistic assumptions, leading to widespread rating downgrades and subjecting the credit rating agencies to significant criticism. The precise reasons for their strikin...
摘要本文主要基于凯特·德莫里斯的研究,对冲基金的信用评级和还款策略进行了深入探讨首先,它对凯特·德莫里斯提出的四种信用风险LeverageCreditRiskBalanceSheetAdjustmentsCreditRatings和CostofDebt进行详细的量化研究,并分析了不同情境下的财务状况和信用表现结论通过对凯特·德莫里斯的研究,我们可以看到凯特·德莫里斯提出的核...
Our findings hold out-of-sample, for various cohorts, for subordinated CDS spreads, for idiosyncratic changes in CDS and are robust to the use of alternative measures of bank distress, including rating downgrades and accounting risk. 展开 关键词:...
As the assigners of credit ratings and subordination levels, rating agencies play a critical role in the whole CMBS market. In an effort to investigate the... PC Hsu,P Chi,S Gordon,... 被引量: 0发表: 2011年 CMBS Payoffs Up, Delinquency Rate Down The refinance market for commercial mor...
Late Monday, the credit rating agency, Moody’s, downgraded the entire U.S. banking system outlook to negative from stable. (Let that sink in for a moment – a downgrade of the entire U.S. banking system.) The news of the Moody’s downgrade did not hit...
1. Credit Rating: The credit rating of an issuer assigned by rating agencies, such as Moody’s, Standard & Poor’s, and Fitch, is a significant factor in determining credit spreads. Higher-rated issuers with strong creditworthiness tend to have narrower credit spreads, reflecting lower perceived...
Credit migrations which bond issuer'screditworthiness deteriorates. Credit risk components Obligor债务人:Counterparties that have the responsibility of making good on an obligation The obligations: a legal liability(written word or oral form) Insolvency资不抵债: describes the financial state of an obligor...