| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP9171 |
| DP9171 Bank ratings: What determines their quality? | |
| Harald Hau; Sam Langfield | |
| 发表日期 | 2012-10-07 |
| 出版年 | 2012 |
| 语种 | 英语 |
| 摘要 | This paper examines the quality of credit ratings assigned to banks in Europe and the United States by the three largest rating agencies over the past two decades. We interpret credit ratings as relative assessments of creditworthiness, and define a new ordinal metric of rating error based on banks? expected default frequencies. Our results suggest that rating agencies assign more positive ratings to large banks and to those institutions more likely to provide the rating agency with additional securities rating business (as indicated by private structured credit origination activity). These competitive distortions are economically significant and help perpetuate the existence of ?too-big-to-fail? banks. We also show that, overall, differential risk weights recommended by the Basel accords for investment grade banks bear no significant relationship to empirical default probabilities. |
| 主题 | Financial Economics |
| 关键词 | Sovereign risk Rating agencies Credit ratings Conflicts of interest Prudential regulation |
| URL | https://cepr.org/publications/dp9171 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/538006 |
| 推荐引用方式 GB/T 7714 | Harald Hau,Sam Langfield. DP9171 Bank ratings: What determines their quality?. 2012. |
| 条目包含的文件 | 条目无相关文件。 | |||||
| 个性服务 |
| 推荐该条目 |
| 保存到收藏夹 |
| 导出为Endnote文件 |
| 谷歌学术 |
| 谷歌学术中相似的文章 |
| [Harald Hau]的文章 |
| [Sam Langfield]的文章 |
| 百度学术 |
| 百度学术中相似的文章 |
| [Harald Hau]的文章 |
| [Sam Langfield]的文章 |
| 必应学术 |
| 必应学术中相似的文章 |
| [Harald Hau]的文章 |
| [Sam Langfield]的文章 |
| 相关权益政策 |
| 暂无数据 |
| 收藏/分享 |
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
