The Technology of Ratings Then and Now; Hiding in Plain Sight

Autor:	John Donnellan, Berry K. Wilson
Rok vydání:	2016
Předmět:	Actuarial science 060106 history of social sciences 05 social sciences Subprime crisis 06 humanities and the arts Sight 0502 economics and business Credibility Economics Great Depression Bond credit rating 0601 history and archaeology 050207 economics General Economics Econometrics and Finance Finance Period (music) Credit risk
Zdroj:	Financial Markets, Institutions & Instruments. 25:49-74
ISSN:	0963-8008
DOI:	10.1111/fmii.12035
Popis:	The subprime crisis seriously undermined the credibility of the rating agencies and their approach to analyzing credit risk. Along with other identified problems with bond ratings, this study investigates the issue that the technology used by the ratings agencies is at best dated and little changed since John Moody published his first bond ratings in 1909. The study compares the predictive accuracy of Moody's bond ratings with the structural modeling approach of Vassalou and Xing (2004), using railroad data from the Great Depression. Study results show that the structural modeling approach outperforms the expert judgment incorporated in Moody's bond ratings from that period.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::0df21aa61f95a82468cb1cc261a576cd https://doi.org/10.1111/fmii.12035 Zobrazit plný text záznamu Plný text ve formátu PDF Plný text ve formátu HTML
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