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The Path to Impairment: Do Credit Rating Agencies Anticipate Default Events of Structured Finance Transactions?

Bodenstedt, Matthias, Rösch, Daniel and Scheule, Harald (2013) The Path to Impairment: Do Credit Rating Agencies Anticipate Default Events of Structured Finance Transactions? European Journal of Finance 19 (9), pp. 841-860.

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Abstract

The Global Financial Crisis (GFC) has led to a general discussion of the accuracy and declining standards of credit rating agency ratings. Substantial criticism has been directed toward the securitisation market, which has been identified as one of the main sources of the crisis. This study focuses on the ability of rating agencies to adjust their ratings prior to impairments of structured ...

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Item type:Article
Date:2013
Institutions:Business, Economics and Information Systems > Institut für Betriebswirtschaftslehre > Lehrstuhl für Statistik und Risikomanagement (Prof. Dr. Rösch)
Identification Number:
ValueType
10.1080/1351847X.2011.636831DOI
Keywords:Anticipation Coefficient, Credit Rating Agencies, Rating Quality, Global Financial Crisis, Structured Finance Rating
Dewey Decimal Classification:300 Social sciences > 330 Economics
Status:Published
Refereed:Yes, this version has been refereed
Created at the University of Regensburg:No
Item ID:28307
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