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Ratings versus market-based measures of default risk in portfolio governance

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  • Loffler, Gunter
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    File URL: http://www.sciencedirect.com/science/article/B6VCY-4D1R4RJ-3/2/b43c2a08efe373bff04d4f391a406e60
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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of Banking & Finance.

    Volume (Year): 28 (2004)
    Issue (Month): 11 (November)
    Pages: 2715-2746

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    Handle: RePEc:eee:jbfina:v:28:y:2004:i:11:p:2715-2746

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    Web page: http://www.elsevier.com/locate/jbf

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    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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    1. Campbell, John & Taksler, Glen, 2003. "Equity Volatility and Corporate Bond Yields," Scholarly Articles 3153307, Harvard University Department of Economics.
    2. Norden, Lars & Weber, Martin, 2004. "Informational Efficiency of Credit Default Swap and Stock Markets: The Impact of Credit Rating Announcements," CEPR Discussion Papers 4250, C.E.P.R. Discussion Papers.
    3. Paul Schultz, 2001. "Corporate Bond Trading Costs: A Peek Behind the Curtain," Journal of Finance, American Finance Association, vol. 56(2), pages 677-698, 04.
    4. Crouhy, Michel & Galai, Dan & Mark, Robert, 2000. "A comparative analysis of current credit risk models," Journal of Banking & Finance, Elsevier, vol. 24(1-2), pages 59-117, January.
    5. Norden, Lars & Weber, Martin, 2004. "Informational efficiency of credit default swap and stock markets: The impact of credit rating announcements," Journal of Banking & Finance, Elsevier, vol. 28(11), pages 2813-2843, November.
    6. Cantor, Richard & Packer, Frank, 1997. "Differences of opinion and selection bias in the credit rating industry," Journal of Banking & Finance, Elsevier, vol. 21(10), pages 1395-1417, October.
    7. Loffler, Gunter, 2005. "Avoiding the rating bounce: why rating agencies are slow to react to new information," Journal of Economic Behavior & Organization, Elsevier, vol. 56(3), pages 365-381, March.
    8. Lando, David & Skodeberg, Torben M., 2002. "Analyzing rating transitions and rating drift with continuous observations," Journal of Banking & Finance, Elsevier, vol. 26(2-3), pages 423-444, March.
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    Cited by:
    1. Jacobson, Tor & Lindé, Jesper & Roszbach, Kasper, 2003. "Internal Ratings Systems, Implied Credit Risk and the Consistency of Banks’ Risk Classification Policies," Working Paper Series 155, Sveriges Riksbank (Central Bank of Sweden).
    2. Bannier, Christina E., 2007. "Smoothing versus timeliness - wann sind stabile Ratings optimal und welche Anforderungen sind an optimale Berichtsregeln zu stellen?," Frankfurt School - Working Paper Series 84, Frankfurt School of Finance and Management.
    3. Horst Rottmann & Franz Seitz, 2004. "Credit Spreads und ihre Determinanten in Deutschland," Ifo Schnelldienst, Ifo Institute for Economic Research at the University of Munich, vol. 57(24), pages 10-14, December.

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