This paper models competition among credit rating agencies as an auction. Equilibrium ratings give a distorted representation of agencies' true assessment of quality, because the agencies choose their ratings strategically. I quantify the distortion in ratings for individual commercial...

In this paper, we study a continuous time structural asset value model for two correlated firms using a two-dimensional Brownian motion. We consider the situation of incomplete information, where the information set available to the market participants includes the default time of each firm and...