Procyclicality of Credit Rating Systems: How to Manage it

@article{Cesaroni2015ProcyclicalityOC,
  title={Procyclicality of Credit Rating Systems: How to Manage it},
  author={Tatiana Cesaroni},
  journal={Econometric Modeling: Capital Markets - Risk eJournal},
  year={2015}
}
  • Tatiana Cesaroni
  • Published 1 September 2015
  • Economics
  • Econometric Modeling: Capital Markets - Risk eJournal
This paper evaluates the characteristics of a Point in Time (PiT) rating approach for the estimation of firms’ credit risk in terms of procyclicality. To this end I first estimate a logit model for the probability default (PD) of a set of Italian non-financial firms during the period 2006-2012, then, in order to address the issue of rating stability (hedging against rating changes) during the financial crisis, I study the effectiveness of ex post smoothing of PDs in terms of obligors’ migration… 
Validating Point-inTime vs . Through-the-Cycle Credit Rating Systems
The validation of credit rating systems aims at identifying the quality of their credit risk estimates. Credit rating systems follow different rating philosophies, ranging from point-in-time (PIT)
MACROECONOMIC ASPECTS OF BANKS’ CREDIT RATINGS
Research background: The practical analysis suggests that credit ratings are especially significant for banks. The literature review suggests that in previous analysis researchers usually took into
Validation of Corporate Probability of Default Models Considering Alternative Use Cases
In this study, we consider the construction of through-the-cycle (“TTC”) PD models designed for credit underwriting uses and point-in-time (“PIT”) PD models suitable for early warning uses,
The Real Effects of Credit Crunch in the Great Recession: Evidence from Italian Provinces
The paper estimates the effects on the real economy of the sharp reduction in the supply of credit following the 2008 financial crisis. We develop a measure of local credit supply that is based on
The Real Effects of Credit Crunch in the Great Recession: Evidence from Italian Provinces
The paper estimates the effects on the real economy of the sharp reduction in the supply of credit following the 2008 financial crisis. We develop a measure of local credit supply that is based on
Macroeconomic Effects of Non-Standard Monetary Policy Measures in the Euro Area: The Role of Corporate Bond Purchases
This paper evaluates the macroeconomic effects of the corporate sector purchase programme (CSPP) implemented in the euro area by the Eurosystem. For this purpose we calibrate and simulate a
A Quantitative Analysis of Risk Premia in the Corporate Bond Market
Measures of corporate credit risk incorporate compensation for unpredictable future changes in the credit environment and compensation for expected default losses. Since the launch of purchases of
Lending Organization and Credit Supply During the 2008-09 Crisis
Using a dataset that combines bank organizational variables with information on firms’ credit demand and balance-sheet indicators, we investigate the impact of how bank lending was organized on
Credit Misallocation During the European Financial Crisis
Do banks with low capital extend excessive credit to weak firms, and does this matter for aggregate efficiency? Using a unique dataset that covers almost all bank-firm relationships in Italy in the
The Quantity of Corporate Credit Rationing with Matched Bank-Firm Data
This paper provides measures of credit rationing in the market of term loans to Italian non-financial firms. We identify non-price allocations of credit by exploiting a unique bank-firm dataset of
...
1
2
3
4
5
...

References

SHOWING 1-10 OF 141 REFERENCES
Credit Risk Measurement and Procyclicality
This paper examines the two-way linkages between credit risk measurement and the macroeconomy. It first discusses the issue of whether credit risk is low or high in economic booms. It then reviews
Ratings Migration and the Business Cycle, with Application to Credit Portfolio Stress Testing
The turmoil in the capital markets in 1997 and 1998 has highlighted the need for systematic stress testing of banks' portfolios, including both their trading and lending books. We propose that
Ratings Migration and the Business Cycle, With Application to Credit Portfolio Stress Testing
The turmoil in the capital markets in 1997 and 1998 has highlighted the need for systematic stress testing of banks' portfolios, including both their trading and lending books. We propose that
Rating Through-the-Cycle: What Does the Concept Imply for Rating Stability and Accuracy?
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
Large Banks, Loan Rate Markup and Monetary Policy
This paper studies the implications of introducing large monopolistic banks, which can affect macroeconomic outcomes and thus the response of monetary policy to inflation, in a model with a
Should Monetary Policy Lean Against the Wind? An Analysis Based on a DSGE Model with Banking
The global financial crisis has reaffirmed the importance of financial factors for macroeconomic fluctuations. Recent work has shown how the conventional pre-crisis prescription that monetary policy
Credit availability and investment: Lessons from the “great recession”
The paper argues that the traditional difficulty encountered in finding evidence on the effects of credit availability on economic activity depends on the fact that these effects are powerful but
Did the securitization market freeze affect bank lending during the financial crisis? Evidence from a credit register
Using data from the Italian Credit Register we identify the adverse effect of the freeze of the securitization market on bank lending during the crisis of 2007–2008. Applying a
Social Capital and the Cost of Credit: Evidence from a Crisis
Social capital is a key factor affecting the functioning of financial markets (Guiso, Sapienza and Zingales, 2004). However, the estimation of the effect of social capital on credit markets is
The Italian Financial Cycle: 1861-2011
In this paper, we investigate the main features of the Italian financial cycle, extracted by means of a structural trend-cycle decomposition of the credit-to-GDP ratio, using annual observations from
...
1
2
3
4
5
...