Im Zuge der Umsetzung von Basel II ringen deutsche Banken darum, ein möglichst effizientes Rating-System aufzubauen. Erklärtes Ziel ist es, in Zukunft Kreditvergabe und -konditionen vor allem auf der Basis von Rating-Kennziffern zu treffen. Im Folgenden wird anhand von anonymisierten...

In banking practice, quantifying the probability of default is one of the most important elements of the lending decision, therefore it is also vital from a financial stability perspective. The aim of our research was to model the probability of default as precisely as possible in the case of...

Institutional factors that enhance the quality of financial reporting and sharing of credit information can alleviate informational gaps between contracting parties and improve loan contract terms. Using cross-country data on syndicated loans, we find that the cost of debt financing is lower for...

We study a model in which an issuer can manipulate information obtained by a credit rating agency (CRA). Better CRA screening reduces the likelihood of a high rating, but increases the value of a rated security. We find that improving the prior quality of assets can have no effect on the quality...

We analyze a rating agency's incentives to distort ratings in a model with a monopolistic profit maximizing rating agency, a continuum of heterogeneous firms, and a competitive market of risk-neutral investors. Firms sell bonds, the value of a firm's bond is known to the firm and observable by...

Bank lending standards vary over time. Periods in which firms find it relatively easy to borrow are followed by periods in which banks scrutinize borrowers more and tighten lending. We predict that changes in lending standards affect the accounting conservatism of bank-dependent firms. Using (i)...

Can a negative shock to sovereign ratings invoke a vicious cycle of increasing government bond yields and further downgrades, ultimately pushing a country toward default? The narratives of public and political discussions, as well as of some widely cited papers, suggest this possibility. In this...

In this paper we propose a novel approach in analysing the impact of changes in sovereign credit ratings on stock markets. We study the evolution of a segmented form of the stock market index for several crisis-hit countries, including both European and Asian markets. Such evolution is modelled...