Direkt zur Hauptnavigation springen Direkt zum Inhalt springen
info(at)avldigital.remove-this.de
Deutsch English
Letzte Suchanfragen

Ergebnisse für *

Zeige Ergebnisse 1 bis 3 von 3.

  1. Machine learning and credit risk
    empirical evidence from SMEs
    Autor*in: Bitetto, Alessandro; Cerchiello, Paola; Filomeni, Stefano; Tanda, Alessandra; Tarantino, Barbara
    Erschienen: [2021]
    Verlag:  Università di Pavia, Department of Economics and Management, Pavia

    Zugang:
    Verlag (kostenfrei)
    Verlag (kostenfrei)

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    VS 727
    Fernleihe:
    keine Fernleihe
    Export in Literaturverwaltung   RIS-Format
      BibTeX-Format
    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Schriftenreihe: DEM working paper series ; # 201 (02-21)
    Schlagworte: Credit Rating; SME; Historical Random Forest; Machine Learning; Relationship Banking; Soft Information
    Umfang: 1 Online-Ressource (circa 51 Seiten), Illustrationen
  2. Regulating a highly concentrated industry
    implications from Dodd-Frank
    Autor*in: Rieber, Alexander
    Erschienen: January 30, 2021
    Verlag:  Verein für Socialpolitik, [Köln]

    Using an international sample of more than 65,000 rating actions by Fitch, Moody's and S&P, we analyze the effect of the Dodd-Frank Act on credit ratings. We document that (i) rating report content changes significantly after Dodd-Frank and (ii)... mehr

    Zugang:
    Resolving-System (kostenfrei)

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DSM 13
    Fernleihe:
    keine Fernleihe

     

    Using an international sample of more than 65,000 rating actions by Fitch, Moody's and S&P, we analyze the effect of the Dodd-Frank Act on credit ratings. We document that (i) rating report content changes significantly after Dodd-Frank and (ii) show, by exploiting within firm-quarter variation, that ratings significantly improve after DoddFrank. While ratings are more accurate, updated more frequently, and reflect firm fundamentals more closely, there is no evidence for a decrease in rating stability after Dodd-Frank. Firms, especially constrained firms, benefit and issue more debt after rating agencies' first post Dodd-Frank rating action. For European firms, effects are generally weaker than for U.S. firms

     
    Export in Literaturverwaltung   RIS-Format
      BibTeX-Format
    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    hdl: 10419/242434
    Schriftenreihe: Jahrestagung 2021 / Verein für Socialpolitik ; 88
    Schlagworte: Dodd-Frank; Regulation; Cosine Similarity; Credit Rating; Credit Rating Report; Natural Experiment
    Umfang: 1 Online-Ressource (circa 56 Seiten), Illustrationen
  3. It's not time to make a change
    sovereign fragility and the corporate credit risk
    Autor*in: Fornari, Fabio; Zaghini, Andrea
    Erschienen: [2022]
    Verlag:  European Central Bank, Frankfurt am Main, Germany

    Relying on a perspective borrowed from monetary policy announcements and introducing an econometric twist in the traditional event study analysis, we document the existence of an "event risk transfer", namely a significant credit risk transmission... mehr

    Zugang:
    Verlag (kostenfrei)
    Resolving-System (kostenfrei)
    Resolving-System (kostenfrei)

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 534
    Fernleihe:
    keine Fernleihe

     

    Relying on a perspective borrowed from monetary policy announcements and introducing an econometric twist in the traditional event study analysis, we document the existence of an "event risk transfer", namely a significant credit risk transmission from the sovereign to the corporate sector after a sovereign rating downgrade. We find that after the delivery of the downgrade, corporate CDS spreads rise by 36% per annum and there is a widespread contagion across countries, in particular among those which were most exposed to the sovereign debt crisis. This effect exists on top of the standard relation between sovereign and corporate credit risk.

     
    Export in Literaturverwaltung   RIS-Format
      BibTeX-Format
    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Ebook
    Format: Online
    ISBN: 9789289953887
    Weitere Identifier:
    hdl: 10419/269147
    Schriftenreihe: Working paper series / European Central Bank ; no 2740 (October 2022)
    Schlagworte: Credit Default Swaps; Credit Rating; Sovereign Risk Spillover
    Umfang: 1 Online-Ressource (circa 48 Seiten), Illustrationen