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http://bura.brunel.ac.uk/handle/2438/10070
Title: | Divergence in credit ratings |
Authors: | Rablen, MD |
Keywords: | Reputation;Spillovers;Divergence;Rating agencies |
Issue Date: | 2013 |
Publisher: | Elsevier |
Citation: | Finance Research Letters, 10:1, pp. 12 - 16, 2013 |
Abstract: | During the recent credit crisis credit rating agencies (CRAs) became increas- ingly 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 infl ate its ratings with probability one in the structured products market, but in flate its ratings with a probability zero in the corporate bond market. |
URI: | http://www.sciencedirect.com/science/article/pii/S1544612312000542 http://bura.brunel.ac.uk/handle/2438/10070 |
DOI: | http://dx.doi.org/10.1016/j.frl.2012.11.001 |
ISSN: | 1544-6123 |
Appears in Collections: | Dept of Economics and Finance Research Papers |
Files in This Item:
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