Essays about: "Rating conservatism"
Found 3 essays containing the words Rating conservatism.
-
1. Conservatism in Credit Ratings: A Comparative Study of Time-Varying Credit Rating Standards in Europe and the US, 1997-2023
University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiAbstract : Our paper reveals increased conservatism in credit ratings in both Europe and the US from 1997 to 2023, with the effect stabilizing after the financial crisis. On average, ratings have declined by more than three notches in Europe, signifying that a firm rated AAA in 1997, with constant financial characteristics, would receive a rating of AA- in 2023. READ MORE
-
2. Time Series Variation in Corporate Credit Rating Standards from 1986 to 2017
University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiAbstract : The average rating of US Corporate debt has trended downward since the mid-80s. Existing research [Blume et al (1998), Baghai et al (2014)] argues that this trend was caused by an increase in conservatism on the part of rating agencies. When holding firm characteristics constant, ratings appear to deteriorate from the period between 1985 and 2007. READ MORE
-
3. Estimation of Probability of Default in Low Default Portfolios
University essay from Lunds universitet/Matematisk statistikAbstract : Estimation of probability of default (PD) is a fundamental part of credit risk modeling, and estimation of PD in low default portfolios is a common issue for banks and financial institutions. The Basel Committee on Banking Supervision requires banks and financial institutions to add an additional margin of conservatism to its PD estimates in the case of insufficient data, as in low default portfolios with few default observations. READ MORE
