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...

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...

This paper was presented at the panel session on rating agencies and sovereign risk, held during the seminar on sovereign risk hosted by the BIS in January 2013.Full publication: "http://ssrn.com/abstract=2420000" Sovereign Risk: A World Without Risk-Free Assets?

Credit rating agencies (CRAs) can achieve rating stability by employing a forward-looking through-the-cycle (TTC) methodology or delaying rating changes. Using a simple credit risk model, we explore the tradeoff between rating accuracy and stability by disentangling the long-term focus of the...

This paper examines the power of different contractual mechanisms to influence an originator's choice of costly effort to screen borrowers when the originator plans to securitise its loans. The analysis focuses on three potential mechanisms: the originator holds a "vertical slice," or share of...

This paper examines the power of different contractual mechanisms to influence an originator's choice of costly effort to screen borrowers when the originator plans to securitise its loans. The analysis focuses on three potential mechanisms: the originator holds a "vertical slice", or share of...