Rating through-the-cycle: what does the concept imply for rating stability and accuracy?
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
[Washington, D.C.]
International Monetary Fund
c2013
|
| Schriftenreihe: | IMF working paper
WP/13/64 |
| Schlagworte: | |
| Online-Zugang: | FLA01 Volltext |
| Beschreibung: | Title from PDF title page (IMF Web site, viewed Mar. 19, 2013). - "Monetary and Capital Markets"--p. 2 of pdf. - "March 2013"--p. 2 of pdf "Credit rating agencies face a difficult trade-off between delivering both accurate and stable ratings. In particular, its users have consistently expressed a preference for rating stability, driven by the transactions costs induced by trading when ratings change frequently. Rating agencies generally assign ratings on a through-the-cycle basis whereas banks' internal valuations are often based on a point-in-time performance, that is they are related to the current value of the rated entity's or instrument's underlying assets. This paper compares the two approaches and assesses their impact on rating stability and accuracy. We find that while through-the-cycle ratings are initially more stable, they are prone to rating cliff effects and also suffer from inferior performance in predicting future defaults. This is because they are typically smooth and delay rating changes. Using a through-the-crisis methodology that uses a more stringent stress test goes halfway toward mitigating cliff effects, but is still prone to discretionary rating change delays"--Abstract Includes bibliographical references (p. 24-25) |
| Beschreibung: | 1 Online-Ressource (29 p.) |
| ISBN: | 9781475546132 1475546130 147551459X 9781475514599 |
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| 500 | |a Title from PDF title page (IMF Web site, viewed Mar. 19, 2013). - "Monetary and Capital Markets"--p. 2 of pdf. - "March 2013"--p. 2 of pdf | ||
| 500 | |a "Credit rating agencies face a difficult trade-off between delivering both accurate and stable ratings. In particular, its users have consistently expressed a preference for rating stability, driven by the transactions costs induced by trading when ratings change frequently. Rating agencies generally assign ratings on a through-the-cycle basis whereas banks' internal valuations are often based on a point-in-time performance, that is they are related to the current value of the rated entity's or instrument's underlying assets. This paper compares the two approaches and assesses their impact on rating stability and accuracy. We find that while through-the-cycle ratings are initially more stable, they are prone to rating cliff effects and also suffer from inferior performance in predicting future defaults. This is because they are typically smooth and delay rating changes. Using a through-the-crisis methodology that uses a more stringent stress test goes halfway toward mitigating cliff effects, but is still prone to discretionary rating change delays"--Abstract | ||
| 500 | |a Includes bibliographical references (p. 24-25) | ||
| 650 | 7 | |a BUSINESS & ECONOMICS / Finance |2 bisacsh | |
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| 650 | 4 | |a Credit ratings |x Evaluation | |
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| 700 | 1 | |a Kisser, Michael |e Sonstige |4 oth | |
| 700 | 1 | |a Schumacher, Liliana |e Sonstige |4 oth | |
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| dewey-ones | 332 - Financial economics |
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| dewey-search | 332.7 |
| dewey-sort | 3332.7 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| format | Electronic eBook |
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| id | DE-604.BV042968989 |
| illustrated | Not Illustrated |
| indexdate | 2024-07-10T07:14:03Z |
| institution | BVB |
| isbn | 9781475546132 1475546130 147551459X 9781475514599 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-028394856 |
| oclc_num | 830472885 |
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| physical | 1 Online-Ressource (29 p.) |
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| publishDate | 2013 |
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| publisher | International Monetary Fund |
| record_format | marc |
| series2 | IMF working paper |
| spelling | Kiff, John Verfasser aut Rating through-the-cycle what does the concept imply for rating stability and accuracy? John Kiff, Michael Kisser and Liliana Schumacher [Washington, D.C.] International Monetary Fund c2013 1 Online-Ressource (29 p.) txt rdacontent c rdamedia cr rdacarrier IMF working paper WP/13/64 Title from PDF title page (IMF Web site, viewed Mar. 19, 2013). - "Monetary and Capital Markets"--p. 2 of pdf. - "March 2013"--p. 2 of pdf "Credit rating agencies face a difficult trade-off between delivering both accurate and stable ratings. In particular, its users have consistently expressed a preference for rating stability, driven by the transactions costs induced by trading when ratings change frequently. Rating agencies generally assign ratings on a through-the-cycle basis whereas banks' internal valuations are often based on a point-in-time performance, that is they are related to the current value of the rated entity's or instrument's underlying assets. This paper compares the two approaches and assesses their impact on rating stability and accuracy. We find that while through-the-cycle ratings are initially more stable, they are prone to rating cliff effects and also suffer from inferior performance in predicting future defaults. This is because they are typically smooth and delay rating changes. Using a through-the-crisis methodology that uses a more stringent stress test goes halfway toward mitigating cliff effects, but is still prone to discretionary rating change delays"--Abstract Includes bibliographical references (p. 24-25) BUSINESS & ECONOMICS / Finance bisacsh Wirtschaft Credit ratings Evaluation Credit bureaus Kisser, Michael Sonstige oth Schumacher, Liliana Sonstige oth International Monetary Fund Monetary and Capital Markets Department Sonstige oth http://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&db=nlabk&AN=561220 Aggregator Volltext |
| spellingShingle | Kiff, John Rating through-the-cycle what does the concept imply for rating stability and accuracy? BUSINESS & ECONOMICS / Finance bisacsh Wirtschaft Credit ratings Evaluation Credit bureaus |
| title | Rating through-the-cycle what does the concept imply for rating stability and accuracy? |
| title_auth | Rating through-the-cycle what does the concept imply for rating stability and accuracy? |
| title_exact_search | Rating through-the-cycle what does the concept imply for rating stability and accuracy? |
| title_full | Rating through-the-cycle what does the concept imply for rating stability and accuracy? John Kiff, Michael Kisser and Liliana Schumacher |
| title_fullStr | Rating through-the-cycle what does the concept imply for rating stability and accuracy? John Kiff, Michael Kisser and Liliana Schumacher |
| title_full_unstemmed | Rating through-the-cycle what does the concept imply for rating stability and accuracy? John Kiff, Michael Kisser and Liliana Schumacher |
| title_short | Rating through-the-cycle |
| title_sort | rating through the cycle what does the concept imply for rating stability and accuracy |
| title_sub | what does the concept imply for rating stability and accuracy? |
| topic | BUSINESS & ECONOMICS / Finance bisacsh Wirtschaft Credit ratings Evaluation Credit bureaus |
| topic_facet | BUSINESS & ECONOMICS / Finance Wirtschaft Credit ratings Evaluation Credit bureaus |
| url | http://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&db=nlabk&AN=561220 |
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