In this study, data from two credit rating agencies are analyzed to consider how different Bank Financial Strength Ratings and Credit compare. To my knowledge, prior research has not agencies, nor it compared general ratings. These facts make unique. Univariate analyses utilized show relationships in the ratings data, along with parametric non-parametric tests statistical inferences about data....

This paper shows that the well known “duration” and “cohort” methods for estimating transition probabilities of external bond ratings are not suitable for internal rating data. More precisely, the duration method cannot and the cohort method should not be used in connection with bank rating data. Structural differences within the borrower monitoring process of banks and rating agencies are resp...

We examine the determinants of MFIs’ social rating decisions according to institutional and resource dependency pressure factors. exploit a unique data set containing 221 MFIs resulting in 767-year observations, obtained from both mixed market agencies (Planet, MicroFinanza, Microrate agencies). Our was collected for rated non-rated between years 2006 2018, six major less-developed regions worl...

This paper assesses whether ratings or market-based credit risk measures are more suitable for formulating portfolio governance rules. Such rules, which consist of buy and sell restrictions, are commonly used in investment management. Based on data from 1983 to 2002, it is not evident that one of the two measures is superior. The relative power of the two measures in predicting defaults depend ...

Using an asset-based model of default, I derive rating characteristics if ratings are meant to look ‘through the cycle’ as opposed to being based on the borrowers’ current condition. The through-the-cycle method, which is employed by most rating agencies, requires a separation of permanent and cyclical components of default risk. In a time series setting, this can be done through the Kalman fil...

Credit models are increasingly interested in not just the probability of default, but in what happens to a credit on its way to default. Attention is being focused on the probability of moving from one credit level, or rating, to another. One convenient way of expressing this information is through a transition matrix. The primary source for these probabilities has been the rating agencies. As ...

Most market observers attribute the recent credit crunch to a confluence of factors: excess leverage, opacity, improperly estimated correlation between bundled assets, lax screening by mortgage originators, and market-distorting regulations. It was the job of the credit rating agencies to create transparency, to provide the basis for risk-management regulation, and to discipline mortgage lender...