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Bon ou mauvais usage des notations

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  • Christian Gouriéroux

Abstract

[fre] Afin de bien comprendre ces questions, nous commencerons par rappeler le principe des notations et classements à partir d’exemples simples. Les illustrations développées dans ce papier montrent que notations et classements dépendent de l’horizon d’investissement, de l’information disponible et ne sont donc pas définis sans ambiguïté. La partie concernant les risques de base et les risques synthétiques discute la difficulté de noter : . - le risque inclus dans un portefeuille connaissant les risques de ses composantes ; . - les produits structurés écrits sur un portefeuille à partir des notes du portefeuille sous-jacent. . Nous expliquerons pourquoi la connaissance de mesures de risque standard (notations ou performances) est insuffisante pour bien évaluer le risque global et utiliser cette évaluation pour la gestion de portefeuille. Pour finir, nous évoquerons la solution implicitement suggérée par le régulateur et discuterons le nouveau rôle des sociétés de services spécialisées.

Suggested Citation

  • Christian Gouriéroux, 2008. "Bon ou mauvais usage des notations," Revue d'Économie Financière, Programme National Persée, vol. 7(1), pages 259-263.
    • Handle: RePEc:prs:recofi:ecofi_0987-3368_2008_hos_7_1_5216
    DOI: 10.3406/ecofi.2008.5216
    Note: DOI:10.3406/ecofi.2008.5216
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    References listed on IDEAS

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    1. Serge Darolles & Christian Gourieroux, 2010. "Conditionally fitted Sharpe performance with an application to hedge fund rating," Post-Print halshs-00677727, HAL.
    2. Gordy, Michael B., 2003. "A risk-factor model foundation for ratings-based bank capital rules," Journal of Financial Intermediation, Elsevier, vol. 12(3), pages 199-232, July.
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