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Credit rating agencies in a post-Enron world: Congress revisits the NRSRO concept
the regulatory reforms credit rating industry Credit Rating Agency Reform competition between credit rating agencies
2011/9/2
This paper gives an overview of the regulatory reforms in the US credit rating industry, most notably through the Credit Rating Agency Reform Act of 2006. The paper first explicates the developments t...
Regulating credit rating agencies: The issue of conflicts of interest in the rating of structured finance products
civil liability credit rating agencies rating-based regulation regulation credit rating agencies
2011/8/30
As a result of the financial crisis, the work of the credit rating agencies (CRAs) has been questioned. It is said that they underestimated the risk in structured finance products and allowed conflict...
About the Justification of Experience Rating: Bonus Malus System and a new Poisson Mixture Model
Risk Management Pricing Portfolio Management Bonus Malus System
2010/10/21
The claim experience of the past is a very important information to calculate the fair price of an insurance contract. In a lot of European countries for instance the prices for motor car insurance d...
Rating groups vs. ratings of group members: evidence from the Italian financial market
rating risk financial group organizational structure corporate events
2010/10/18
This paper examines the relationship between ratings of groups and individual group
entities, with a view to assessing the effects of change to the group structure on the rating.
The analysis focuse...
Dynamic Estimation of Credit Rating Transition Probabilities
Credit Rating Transition Probabilities
2010/11/3
We present a continuous-time maximum likelihood estimation methodology for credit rating
transition probabilities, taking into account the presence of censored data. We perform
rolling estimates of ...