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Regressions Estimating the Determinants of Credit Ratings

Accounting for the determinants of banks’ credit ratings

Accounting for the determinants of banks’ credit ratings

... assign credit rating for approximately 74% to 78% the sample ...banks’ credit ratings and each of leverage asset quality and capital is not robust, suggesting that the rating agency’s models did not ...

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Determinants and Impact of Sovereign Credit Ratings

Determinants and Impact of Sovereign Credit Ratings

... Sovereign Credit Ratings Richard Cantor and Frank Packer n recent years, the demand for sovereign credit rat- ings—the risk assessments assigned by the credit rating agencies to the ...

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An empirical investigation of the determinants and impact of bank credit ratings

An empirical investigation of the determinants and impact of bank credit ratings

... main determinants of bank credit rating The first part of this section examines the criteria set by the major CRAs in assigning credit ratings to ...the determinants of bank ...

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The Determinants of Credit Ratings in the United Kingdom Insurance Industry

The Determinants of Credit Ratings in the United Kingdom Insurance Industry

... The Determinants of Credit Ratings in the United Kingdom Insurance Industry Academic researchers have devoted a considerable amount of attention to the activities of credit rating agencies ...

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The Determinants of Credit Ratings in the United Kingdom Insurance Industry

The Determinants of Credit Ratings in the United Kingdom Insurance Industry

... The Determinants of Credit Ratings in the United Kingdom Insurance Industry Academic researchers have devoted a considerable amount of attention to the activities of credit rating agencies ...

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The rating decision and the determinants of credit ratings: A UK empirical investigation

The rating decision and the determinants of credit ratings: A UK empirical investigation

... of credit ratings that can play this role (Sylla, ...rating determinants, which can further help with establishing better criteria in investment-related supervisory mandates as well as ...

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Essays on the determinants of sovereign credit ratings and their effect on the corporate sector

Essays on the determinants of sovereign credit ratings and their effect on the corporate sector

... sovereign credit rating decisions made by the three leading rating agencies namely Moody’s, Standard and Poors and Fitch for the Eurozone Economies from 2002 to ...the determinants of sovereign ...

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NON US ASSET BACKED SECURITIES: SPREAD DETERMINANTS AND OVER RELIANCE ON CREDIT RATINGS

NON US ASSET BACKED SECURITIES: SPREAD DETERMINANTS AND OVER RELIANCE ON CREDIT RATINGS

... on ratings (after adjusting for non-credit factors) which we refer to as the “over-reliance ...on credit ratings has been put forth as a reason for the subprime mortgage crisis and concerns ...

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Short  and long run determinants of sovereign debt credit ratings

Short and long run determinants of sovereign debt credit ratings

... rating by around 0.17 notches for Moody’s and S&P, while an increase of 6 percent of GDP per capita improves the rating by 0.1 notches. Regarding the fiscal variables, the coefficient of the government debt-to-GDP ratio ...

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A Look at Sovereign Credit Ratings and Their Determinants Throughout the Financial Crisis

A Look at Sovereign Credit Ratings and Their Determinants Throughout the Financial Crisis

... sovereign’s credit ratings ...first credit rating decrease since Standard & Poor’s began assigning credit ratings on January 1, ...the ratings agency when assigning and managing ...

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Determinants of credit ratings: evidence from emerging market economies

Determinants of credit ratings: evidence from emerging market economies

... the ratings had a statistically significant coefficient at 10%, while, China and South Africa had the expected negative sign but the coefficients were not statistically ...the ratings and outlooks are of a ...

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Determinants of commercial mortgage-backed securities credit ratings: Australian evidence

Determinants of commercial mortgage-backed securities credit ratings: Australian evidence

... Fitch Ratings CMBS rating approach 3ABN AMRO CMBS ranking model 4 • Property characteristics analysis - Sustainable cash fl ow - Quality grade - Property type - Tenant quality • Loan structure analysis - ...

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The Municipal Bond Market in Italy: an empirical analysis of the determinants of yields and credit ratings

The Municipal Bond Market in Italy: an empirical analysis of the determinants of yields and credit ratings

... authorities’ regressions, implying that the market does not discriminate yields according to borrower’s risk, applying a sort of average pricing to the whole category of ...a credit rating ...of ...

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Credit ratings and credit risk

Credit ratings and credit risk

... P it is the 12-month annualized default probability and P t median is its median across …rms. 25 We use the 12-month measure since it will not be focused excessively on short-term determinants of failure. In ...

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Credit ratings and credit risk

Credit ratings and credit risk

... of failure. In addition, the 12-month measure is an important determinant of within-rating spread variation in the CDS market (table 4). To avoid worries of non-stationarity in default probability levels we estimate our ...

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Are Credit Ratings Subjective? The Role of Credit Analysts in Determining Ratings *

Are Credit Ratings Subjective? The Role of Credit Analysts in Determining Ratings *

... of credit spreads on decomposed long-term credit ...adjusted credit rating is associated with a 49 basis point decrease in credit spreads, consistent with ratings conveying valuable ...

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Credit Ratings, Credit Default Swaps and Credit Correlation

Credit Ratings, Credit Default Swaps and Credit Correlation

... both regressions, interest centers on the coefficients of RCD, which measures the impact of the rating crisis on the ...cessed credit information is positively correlated with rating, ...lower credit ...

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Credit Ratings and Capital Structure

Credit Ratings and Capital Structure

... VI Credit Rating Impact by Broad Rating Coefficients and standard errors from pooled time-series cross-section regressions by Broad Rating of net debt raised for the year minus net equity raised for the ...

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Estimating regressions and seemingly unrelated regressions with error component disturbances

Estimating regressions and seemingly unrelated regressions with error component disturbances

... of regressions models with two-way error component disur- bances, is considered for the case where both the random effects are non-spherically ...for estimating the regression parameters is ...

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Intro to Credit, Credit Analysis, and Credit Ratings

Intro to Credit, Credit Analysis, and Credit Ratings

... Credit Ratings and Fixed-Income Credit Analysis.. Mark Adelson.[r] ...

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