Procyclicality of credit rating systems: how to manage it
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Other versions of this item:
- Cesaroni, Tatiana, 2015. "Procyclicality of credit rating systems: How to manage it," Journal of Economics and Business, Elsevier, vol. 82(C), pages 62-83.
- Tatiana Cesaroni, 2015. "Procyclicality of credit rating systems: how to manage it," Mo.Fi.R. Working Papers 109, Money and Finance Research group (Mo.Fi.R.) - Univ. Politecnica Marche - Dept. Economic and Social Sciences.
References listed on IDEAS
- Cesaroni, Tatiana & Maccini, Louis & Malgarini, Marco, 2011.
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- Tatiana Cesaroni & Louis Maccini & Marco Malgarini, 2009. "Business cycle volatility and inventories behavior:new evidence for the Euro Area," ISAE Working Papers 108, ISTAT - Italian National Institute of Statistics - (Rome, ITALY).
- Nickell, Pamela & Perraudin, William & Varotto, Simone, 2000. "Stability of rating transitions," Journal of Banking & Finance, Elsevier, vol. 24(1-2), pages 203-227, January.
- Philip Lowe, 2002. "Credit risk measurement and procyclicality," BIS Working Papers 116, Bank for International Settlements.
- Bangia, Anil & Diebold, Francis X. & Kronimus, Andre & Schagen, Christian & Schuermann, Til, 2002.
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- Anil Bangia & Francis X. Diebold & Til Schuermann, 2000. "Ratings Migration and the Business Cycle, With Application to Credit Portfolio Stress Testing," Center for Financial Institutions Working Papers 00-26, Wharton School Center for Financial Institutions, University of Pennsylvania.
- John Kiff & Michael Kisser & Liliana B Schumacher, 2013. "Rating Through-the-Cycle; What does the Concept Imply for Rating Stability and Accuracy?," IMF Working Papers 13/64, International Monetary Fund.
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More about this item
Keywordsprocyclicality; business cycle; financial stability; PiT rating system; long run probability default;
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
- G24 - Financial Economics - - Financial Institutions and Services - - - Investment Banking; Venture Capital; Brokerage
- G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2015-10-17 (All new papers)
- NEP-BAN-2015-10-17 (Banking)
- NEP-MAC-2015-10-17 (Macroeconomics)
- NEP-RMG-2015-10-17 (Risk Management)
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