This study develops and evaluates a model that generates synthetic credit ratings using accounting and market based information. The model performs very well in explaining agency ratings, suggesting that fitted values for unrated companies are likely to be reasonably precise. In addition, the...

We examine and compare corporate bond rating standards, discriminatory power, stability, and market impact of investor-paid and issuer-paid ratings. We find no consistent evidence of investor-paid Egan-Jones ratings being more stringent or having higher discriminatory power of default risk....

We develop a four-factor model intended to capture size, value, and credit rating transition patterns in excess returns for a panel of predominantly mid- and large-cap entities. Using credit transition matrices and rating histories from 48 US issuers, we provide evidence to support a...

This paper studies the differential credit risks embedded in the cross-section of credit spreads. Using corporate bond data from 1999 to 2018, we find that credit spreads relative to those of peers — defined as bonds with the same stated credit rating — contain reliable information about...

Rating agencies report ordinal ratings in discrete classes . We question the market's implicit assumption that agencies define their classe s on identical scales, e.g., that AAA by Standard & Poor's is equivalent to Aaa by Moody's. To this end, we develop a non-parametric method to estimate the...

The role of credit rating agencies has been questioned in the recent years. Existing empirical studies provide mixed evidence on the informational value of bond ratings for financial investors. In this study we examine the relationship between bond ratings and credit spreads for US corporate...

This paper explores the implications of systemic risk in Credit Structured Finance (CSF). Risk measurement issues loomed large during the 2007-08 financial crisis, as the massive, unprecedented number of downgrades of AAA senior bond tranches inflicted severe losses on banks, calling into...