The Credibility of Credit Ratings : Does a Timely Relation between Credit Ratings and Credit Risk exist for the Financial Services?

Arjan Schipperus

ISBN 10: 3848448424 / ISBN 13: 9783848448425

Published by LAP LAMBERT Academic Publishing, 2012

About this Item

nach der Bestellung gedruckt Neuware - Printed after ordering - This work examines the possible relation between credit risk and credit ratings, and the timeliness of this relation for the financial services. Investors and regulators use credit ratings as part of their decision making process and it is important to understand to which extend credit ratings reflect actual credit risk. This research focuses on the financial services because of the increasing credit risk over the years 2003 till 2007 and the strong commercial interests of credit rating agencies in this industry. A distorted relation between credit risk and credit ratings is most likely to become apparent in the financial services. Six financial metrics are used as a proxy for credit risk and two variables are used to measure changes in credit ratings. Based on the data and analyses the relation between credit ratings and credit risk is at best weak for the research period. The most significant relations are lagged by three or four years, which means that credit ratings are responding three or four years after changes in credit risk occur.

Seller Inventory # 9783848448425

Bibliographic Details

• Title: The Credibility of Credit Ratings : Does a Timely Relation between Credit Ratings and Credit Risk exist for the Financial Services?
• Publisher: LAP LAMBERT Academic Publishing
• Publication Date: 2012
• Language: English
• ISBN 10: 3848448424
• ISBN 13: 9783848448425
• Binding: Taschenbuch
• Condition: Neu
• Dimensions: 220W x 150H x 6D millimeters 220 millimeters width by 150 millimeters height by 6 millimeters depth
• Weight: 143 grams

About this title

Synopsis

This work examines the possible relation between credit risk and credit ratings, and the timeliness of this relation for the financial services. Investors and regulators use credit ratings as part of their decision making process and it is important to understand to which extend credit ratings reflect actual credit risk. This research focuses on the financial services because of the increasing credit risk over the years 2003 till 2007 and the strong commercial interests of credit rating agencies in this industry. A distorted relation between credit risk and credit ratings is most likely to become apparent in the financial services. Six financial metrics are used as a proxy for credit risk and two variables are used to measure changes in credit ratings. Based on the data and analyses the relation between credit ratings and credit risk is – at best – weak for the research period. The most significant relations are lagged by three or four years, which means that credit ratings are responding three or four years after changes in credit risk occur.

About the Author

Studied Master in Accounting and Control at the University of Amsterdam. Works since 10 years as independent consultant. Currently studies Master in Law at VU Univeristy Amsterdam.