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Do S&P's Corporate Ratings Reflect Credit Shocks?

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  • Elsas, Ralf
  • Sabine, Mielert
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    File URL: http://epub.ub.uni-muenchen.de/10979/2/rating_validation_0809_work.pdf
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    Paper provided by University of Munich, Munich School of Management in its series Discussion Papers in Business Administration with number 10979.

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    Date of creation: 24 Aug 2009
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    Handle: RePEc:lmu:msmdpa:10979

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    Keywords: Credit Ratings; Validation; Rating Regulation;

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    1. Merton, Robert C, 1974. "On the Pricing of Corporate Debt: The Risk Structure of Interest Rates," Journal of Finance, American Finance Association, vol. 29(2), pages 449-70, May.
    2. Yuliya Demyanyk & Otto Van Hemert, 2009. "Understanding the subprime mortgage crisis," Proceedings, Federal Reserve Bank of San Francisco, issue Jan.
    3. Martin Hellwig, 2009. "Systemic Risk in the Financial Sector: An Analysis of the Subprime-Mortgage Financial Crisis," De Economist, Springer, vol. 157(2), pages 129-207, June.
    4. 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.
    5. Sreedhar T. Bharath & Tyler Shumway, 2008. "Forecasting Default with the Merton Distance to Default Model," Review of Financial Studies, Society for Financial Studies, vol. 21(3), pages 1339-1369, May.
    6. Ang, James S & Patel, Kiritkumar A, 1975. "Bond Rating Methods: Comparison and Validation," Journal of Finance, American Finance Association, vol. 30(2), pages 631-40, May.
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