Essays on Credit Ratings

Anamaria Cociorva

204 SEK

SKU: 978-91-7753-956-8 Category:

Description

This book investigates the role, as well as the accuracy of credit ratings, both for companies and countries. In the first article, I find that credit ratings capture financial constraints more effectively relative to other popular proxies. The second paper focuses on a change in the rules of a widely-followed bond index, and finds that there is a significant market response for the bonds affected by this change. This suggests that credit ratings also have a significant role for bond market segmentation. In the third paper, I find that sovereign ratings have become increasingly conservative over time. However, in my final paper, I focus on the method used for estimating rating ”conservatism”, and , by using a new, two-step model, I find that previous research has overestimated its magnitude.

Additional information

Weight 414 g
Dimensions 13 x 155 x 220 mm
Language

English

Publication year

2019

Format

Paperback

ISBN

978-91-7753-956-8

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