This paper analyses how reputational shocks and regulatory reforms have affected the value-relevant information content of rating adjustments announced by the main Credit Rating Agencies (CRAs). We analyse the U.S. stock market at the firm level. Our novel empirical findings show the inverse...

This paper examines the effectiveness of using futures contracts as hedging instruments of: (1) alternative models of volatility for estimating conditional variances and covariances; (2) alternative currencies; and (3) alternative maturities of futures contracts. For this purpose, daily data of...

The Basel III Accord requires that banks and other Authorized Deposit-taking Institutions (ADIs) communicate their daily risk forecasts to the appropriate monetary authorities at the beginning of each trading day, using one of a range of alternative risk models to forecast Value-at-Risk (VaR)....