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| Tekijä: | Kou, J. Varotto, S. |
| Otsikko: | Timeliness of spread implied ratings |
| Lehti: | European Financial Management
2008 : JUN, VOL. 14:3, p. 503-527 |
| Asiasana: | capital markets credit rating risk management banking |
| Kieli: | eng |
| Tiivistelmä: | Delayed rating adjustments are due to rating agencies' prudency in rating revisions. For a large set of eurobonds, this study derives credit spread implied ratings (here as: s-i-rts.), comparing them with agency ratings. These results indicate that s-i-rts. often anticipate the future movement of agency ratings, hence helping to track credit risk in a more timely manner. This finding has important implications for risk managers in banks etc. |
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