Rating Through the Cycle is popular PDF and ePub book, written by Mr.John Kiff in 2013-03-08, it is a fantastic choice for those who relish reading online the Business & Economics genre. Let's immerse ourselves in this engaging Business & Economics book by exploring the summary and details provided below. Remember, Rating Through the Cycle can be Read Online from any device for your convenience.
Rating Through the Cycle Book PDF Summary
Credit rating agencies face a difficult trade-off between delivering both accurate and stable ratings. In particular, its users have consistently expressed a preference for rating stability, driven by the transactions costs induced by trading when ratings change frequently. Rating agencies generally assign ratings on a through-the-cycle basis whereas banks' internal valuations are often based on a point-in-time performance, that is they are related to the current value of the rated entity's or instrument's underlying assets. This paper compares the two approaches and assesses their impact on rating stability and accuracy. We find that while through-the-cycle ratings are initially more stable, they are prone to rating cliff effects and also suffer from inferior performance in predicting future defaults. This is because they are typically smooth and delay rating changes. Using a through-the-crisis methodology that uses a more stringent stress test goes halfway toward mitigating cliff effects, but is still prone to discretionary rating change delays.
Detail Book of Rating Through the Cycle PDF
- Author : Mr.John Kiff
- Release : 08 March 2013
- Publisher : International Monetary Fund
- ISBN : 9781475514599
- Genre : Business & Economics
- Total Page : 38 pages
- Language : English
- PDF File Size : 20,6 Mb
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