Rablen, M.D. orcid.org/0000-0002-3521-096X (2013) Divergence in credit ratings. Finance Research Letters, 10 (1). pp. 12-16. ISSN 1544-6123
Abstract
During the recent credit crisis credit rating agencies (CRAs) became increasingly lax in their rating of structured products, yet increasingly stringent in their rating of corporate bonds. We examine a model in which a CRA operates in both the market for structured products and for corporate debt, and shares a common reputation across the two markets. We find that, as a CRA’s reputation becomes good enough, it can be optimal for it to inflate its ratings with probability one in the structured products market, but inflate its ratings with probability zero in the corporate bond market.
Metadata
Item Type: | Article |
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Authors/Creators: |
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Editors: |
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Copyright, Publisher and Additional Information: | © 2013 Elsevier. This is an author produced version of a paper subsequently published in Finance Research Letters. Uploaded in accordance with the publisher's self-archiving policy. Article available under the terms of the CC-BY-NC-ND licence (https://creativecommons.org/licenses/by-nc-nd/4.0/). |
Keywords: | Reputation; Spillovers; Divergence; Rating agencies |
Dates: |
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Institution: | The University of Sheffield |
Academic Units: | The University of Sheffield > Faculty of Social Sciences (Sheffield) > Department of Economics (Sheffield) |
Depositing User: | Symplectic Sheffield |
Date Deposited: | 13 Apr 2018 10:46 |
Last Modified: | 13 Apr 2018 10:46 |
Published Version: | https://doi.org/10.1016/j.frl.2012.11.001 |
Status: | Published |
Publisher: | Elsevier |
Refereed: | Yes |
Identification Number: | 10.1016/j.frl.2012.11.001 |
Related URLs: | |
Open Archives Initiative ID (OAI ID): | oai:eprints.whiterose.ac.uk:129601 |