Credit Rating Agencies

This study analyzes the effect of corporate bond rating changes by international agencies on stock prices. This topic has not yet been analyzed for the Spanish stock market, despite the growing importance of ratings in Spanish financial markets. On an efficient market, rating changes will only have an effect if they contain some new information. The results from an event study indicate that rating actions cause significant negative abnormal returns in issuing firms around the date of the announcement. This evidence indicates an informational effect related to downgrades, which supports the hypothesis that credit rating agencies provide information that may reduce the asymmetric information problem between firms and investors. In the case of upgrades, our results are compatible with a redistribution of wealth between bondholders and owners or with the reputation hypothesis.

An efficient financial system facilitates the optimal allocation of resources towards economic development of a country by allocating resources efficiently. Markets which are a part of the financial system, support efficient allocation of funds,thus development of capital markets play a vital role in economic development of a country.Information asymmetry and lack of information can fear away investors, while a?creditrating? assignedby an independent party can attract investors to markets. The purpose of this study is to identify the current trend of the credit rating industry in Sri Lanka(SL). Data were obtained mainly from interviews and other secondary sources such as annual reports of SEC, and rating reports etc.Quantitative data, were analyzed using; ratio analysis and percentage calculations, whilequalitative data were analyzed using content analysis. The study revealed that underdeveloped capital markets and low financial literacy hinder the use of credit ratings in SL influe...

Sous l’effet du néolibéralisme et de la révolution numérique, les activités d’évaluation s’emballent, se généralisent, s’érotisent, deviennent frénétiques et paradoxales. Le projet de recherche « Evaluation générale : l’Agence de Notation comme dispositif artistique », financé par l’EUR ArTeC (ComUE UPL), réunit un groupe d’artistes, éditeurs, théoriciens des arts, critiques littéraires, philosophes, sociologues, politologues et spécialistes en sciences de gestion, en vue d’explorer et de comprendre les problèmes publics spécifiques que soulève la généralisation de l’évaluation. Il se constitue autour de l’« Agence de Notation », dispositif artistique et d’enquête appelé à intervenir en situations institutionnelles réelles afin de désinvisibiliser non seulement ce qu’est l’activité d’évaluation-notation mais aussi ses effets concrets immédiats. Ce carnet collaboratif se veut un espace d’échange, de ressources et une vitrine des actions de ce groupe de recherche-création.

The credit rating agencies (CRAs) were an important component of the subprime mess. This article describes what the CRAs are, what they do, what roles they play, and how they fit into the regulatory system. It outlines the types of mortgage securities that the CRAs rate and outlines the evolution of the subprime mess. It then assesses three prime suspects in the CRAs' problems: incentives, ignorance, and stress. The author concludes that all three factors were important, that public officials were slow to react, and that additional safeguards have been put into place to prevent such problems in the future.

El presente artículo, luego de exponer brevemente el rol de la calificación
crediticia en los mercados financieros, brinda una primera panorámica
sobre la normativa delineada por el legislador europeo, en particular sobre aquellas
normas relativas al tema de la responsabilidad civil de las agencias en caso
de difusión de una calificación crediticia errónea, y pone al descubierto algunas
de sus deficiencias.

This work is licensed under a Creative Commons Attribution 4.0 International License. For decades, the credit rating market has been dominated by three major agencies (Moody's, S&P and Fitch Ratings). Their oligopolistic dominance is especially strong in sovereign credit ratings industry, where they hold a collective global share of more than 99%. Global financial crisis and the Eurozone sovereign debt crisis exposed serious flaws in rating process and forced public authorities to act. This study investigates effectiveness of new regulations adopted in the United States and in the European Union after financial crises in terms of reducing oligopolistic dominance of the "Big Three" in sovereign credit ratings market. The study applies descriptive statistical analysis of economic indicators describing concentration rate in a market, as well as content analysis of legal acts and case study methodology. Analysis shows that the Dodd-Frank reform and new European rules on supervision of credit rating agencies were not effective enough and did not lead to the increased competition in the market. The evidence from this study is explained using two alternative perspectives-economic theory of natural oligopoly and hegemonic stability theory coming from international relations field. potential conflict of interest (issuers must pay the CRAs to rate their securities), low quality of ratings, pro-cyclical behaviour, unreliable methodology, promoting neoliberalism as the only alternative for political economy, etc. This paper focuses on an

The European Supervisory Authorities (the ‘ESAs’) form part of a large network of EU agencies and are classified as regulatory agencies, their principal tasks being the development and completion of the ‘single rulebook’ for the EU financial system. The ESAs also promote supervisory convergence in order to create a level-playing field in financial supervision and supervisory practices in the EU. In the absence of an explicit legal basis in the TFEU for the allocation of competence to EU agencies, their powers are delimited, shaped and amenable to judicial review in light of relevant CJEU jurisprudence, most importantly, the Meroni doctrine, laying down the core principles governing relations between EU institutions and EU agencies. In this study, we look into the gradually emerging (and increasing) asymmetry in supervisory terms between the ESMA, on the one hand, and the EBA and the EIOPA, on the other. The former’s direct supervisory powers have been progressively expanding and technocratic influence widening, accentuated by recent relevant case-law modernising the Meroni doctrine and the recent amendment of the ESAs’ founding Regulations mirroring the ambition to move towards further centralisation of supervision of EU capital markets. The aim of this paper is to contribute to the ongoing debate arising from the ESAs’ developing role and position within the EU financial system.

Purpose-This study is a comparative analysis of the magnitude of economic growth as a key determinant of long-term foreign currency sovereign credit ratings in 30 countries in Africa, Europe, Asia and Latin America from 2010 to 2018. Design/methodology/approach-The analysis applies the fixed effects (FE) and random effects (RE) panel least squares (PLS) models. Findings-The authors find that the magnitude economic coefficients are marginally small for African countries compared to other developing countries in Asia, Europe and Latin America. Results of the probit and logit binary estimation models show positive coefficients for economic growth sub-factors for non-African countries (developing and developed) compared to negative coefficients for African countries. Practical implications-These findings mean that, an increase in economic growth in Africa does not significantly increase the likelihood that sovereign credit ratings will be upgraded. This implies that there is lack of uniformity in the application of the economic growth determinant despite the claims of a consistent framework by rating agencies. Thus, macroeconomic factors are relatively less important in determining country's risk profile in Africa than in other developing and developed countries. Originality/value-First, studies that investigate the accuracy of sovereign credit rating indicators and risk factors in Africa are rare. This study is a key literature at the time when the majority of African countries are exploring the window of sovereign bonds as an alternative funding model to the traditional concessionary borrowings from multilateral institutions. On the other hand, the persistent poor rating is driving the cost of sovereign bonds to unreasonably high levels, invariably threatening their hopes of diversifying funding options. Second, there is criticism that the rating assessments of the credit rating agencies are biased in favour of developed countries and there is a gap in literature on studies that explore the whether the credit rating agencies are biased against African countries. This paper thus explores the rationale behind the African Union Decision Assembly/AU/Dec.631 (XXVIII) adopted by the 28th Ordinary Session of the African Union held in Addis Ababa, Ethiopia in January 2017 (African Union, 2017), directing its specialized governance agency, the African Peer Review Mechanism (APRM), to provide support to its Member States in the field of international credit rating agencies. The Assembly of African Heads of State and Government highlight that African countries are facing the challenges of credit downgrades despite an average positive economic growth. Lastly, the paper makes contribution to the argument that the majority of African countries are unfairly rated by international credit rating agencies, raising a discussion of the possibility of establishing a Pan-African credit rating institution.

Uluslararası finansal ve ekonomik bütünleşmenin artmasıyla birlikte, ülke kredi notları küresel sermaye akımını yönlendiren en önemli unsurlardan biri haline gelmiş ve kredi derecelendirme kuruluşlarının (KDK) küresel ekonomi ve ülke ekonomileri üzerindeki etkileri artmıştır.  Bununla birlikte, 1990’lı yıllarda yaşanan ekonomik krizlerde ve 2008 yılında başlayan küresel krizde iyi bir sınav veremeyen KDK’lar, giderek artan eleştirilere maruz kalmaktadır.
Kalkınma sürecinin hızlandırılması açısından dış finansman ihtiyacı yüksek bir yapıya sahip olan Türkiye ekonomisi için, KDK’ların ve kredi notu (credit rating) belirleme yöntemlerinin iyi analiz edilmesi önem arz etmektedir. Bu çalışmanın amacı, KDK’ların ülkelere verdikleri kredi notlarının sistematiğini inceleyerek tutarlılığını sorgulamak ve kredi notunun belirleyicilerini tespit ederek ülke kredi notunun artırılabilmesi için politika önerileri sunmaktır. Bu kapsamda, tersine mühendislik yöntemiyle yapılan panel veri analizleri sonucunda; kişi başına düşen milli gelirin, yönetişim kalitesinin, cari işlemler dengesinin, büyüme performansının, büyüme beklentilerinin, sanayileşmiş ülke olmanın ve ülke para biriminin rezerv para olarak kullanılmasının ülke notunu artıran faktörler olduğu görülmüştür. Buna karşın, döviz kuru oynaklığı, faiz ödemeleri, borç yükü seviyesi ve geçmişte temerrüt yaşanmış olması ise ülke kredi notunu düşüren etkenler olarak öne çıkmaktadır. 
Çalışmanın sonuçları KDK’lara karşı yapılan krizleri öngörememe ve ani not değişimleriyle mevcut krizleri daha da derinleştirme eleştirilerini desteklemektedir. Analizler Türkiye’nin ülke kredi notunun, özellikle 2004 yılından itibaren, sürekli olarak göstergelerin ima ettiği değerin altında kaldığını, 2012 yılındaki kredi notunun ise BBB (Baa2) düzeyinde olması gerektiğini göstermektedir. Analiz sonuçlarından elde edilen ülke kredi notunun belirleyicileri ve KDK’ların Türkiye ekonomisine yönelttiği eleştiriler göz önüne alındığında, yüksek cari işlemler açığı ve düşük yurtiçi tasarruf oranı kredi notunun artmasının önündeki en belirgin problemler olarak öne çıkmaktadır. Söz konusu problemlerin çözümü için Onuncu Kalkınma Planında yer alan politikaların ve öncelikli dönüşüm programlarının etkin bir şekilde hayata geçirilmesi büyük önem arz etmektedir. Bu kapsamda, Onuncu Kalkınma Planı politikalarının hayata geçirilmesi ve OVP (2015-2017) hedeflerine ulaşılması ve sonraki yıllarda da bu gelişmelerin devam ettirilmesiyle ülkemizin kredi notunun 2020 yılında “BBB+” düzeyine çıkacağı tahmin edilmektedir. Ayrıca, yönetim göstergelerinde yaşanacak daha hızlı bir iyileşme sonucunda ise kredi notunun 2020 yılında “A-” düzeyine kadar çıkabileceği öngörülmektedir.

The paper aims to present duopoly based credit-rating business in Pakistan that comprises on two companies i.e., (a) Pakistan Credit Rating Agency Limited (PACRA) and (b) Japan Credit Rating – Vital Information Services Credit Rating Co. Ltd. (JCR-VIS). This research presents comparisons between two credit rating agencies on six operational issues; (a) Services Offered; (b) Pricing Issues; (c) Rating Processes; (d) Rating Scales and (e) Strategic Issues for both companies. It provides valuable insights in understanding the local credit rating industry and selection of a particular agency for credit rating.

This paper analyses the Regulation (EC) 1060/2009 and focuses on the aspects related to Credit Rating Agencies' liability. As contemporary history has well shown, ratings may turn into misleading information for market's operators. In these cases, claims for damages might arise. This work will deepen the analysis of the judicial remedies offered by the Regulation. A comparison will be also made with the liability of other financial market's operators that deal with information. This will lead to conclude that, in this field, a proper allocation of liability should take into account the whole information process.

The mainstream narrative of the Greek financial crisis blames Greece for being the architect of its own financial crisis. This narrative reduces the complexity and global nature of the Greek financial crisis to an internal and national focus that justifies a strategy of structural adjustment and austerity targeted to reduce the public debt. Yet, Greece's public debt has grown over the course of treatment. This paper contends that the strategy intended to resolve the Greek financial crisis is not a resolution strategy at all—it is more accurately conceptualized as a crisis management strategy, which is insufficient to reduce the public debt and instead fuels a deflationary spiral in Greece. The Troika, consisting of the European Commission, European Central Bank, and International Monetary Fund, alongside the Eurogroup, credit rating agencies, and private investors endorse a crisis management strategy that has engendered an unprecedented wave of discipline, surveillance, and control alongside a neoliberal restructuring of the Greek economy that has functioned to protect private interests. In effect, power is increasingly wielded by unelected international political and financial institutions, which not only temper the sovereignty Greece, but also undermine the functioning of democratic processes.

This study examines the determinants of government bond spreads vis-à-vis Germany for eleven EMU member countries in the period 2000Q1 to 2013Q3 with a special focus on the European Debt Crisis. The aim of the thesis is to test whether selected financial, fiscal and macroeconomic variables have an impact on government bond spreads. A novel contribution is testing whether there has been a significant change of government bond spread determinants following the ECB interventions in summer 2012. Variables reflecting the sustainability of public finance, liquidity of government bonds, risk aversion and competitiveness of a particular country were found to be significant determinants of government bond spreads, unlike banking sector indicators. Government bond spreads thus increase in response to rising debts and deficits and the loss of international competitiveness. No significant change in the composition of government bond yield determinants as a whole was found for the period after the ECB interventions, despite changes in several variables. Results of the thesis suggest that it is important to follow a sound fiscal policy and to prevent a deterioration of a country’s international competitiveness in order to keep government bond spread of a particular country low.

Multilateral development banks depend on international capital markets for much of their financing. This, in turn, means that MDBs must obtain strong bond ratings from the major credit rating agencies. However, these agencies - in particular Standard and Poor's - are using a methodology that fundamentally underestimates the financial strength of MDBs, with negative impacts on the ability of MDBs to pursue their development mandate.

Banks and other financial institutions which were too-big-to-fail (TBTF) played a central role during the Global Financial Crisis of 2007-2009. The present article lays out how misguided policies enabled banks to grow both in size as well as in complexity and therefore acquire TBTF status, particularly in the 10-year period preceding the crisis. The article then proceeds by detailing how an ill-designed policy framework, relying on supposed market approaches to regulation – including self-regulation and credit rating agencies – enabled TBTF financial institutions to game the system and thereby exploit negative externalities which the flawed policy framework in connection with TBTF status had granted large, systemically important financial institutions. The article therefore identifies defective government policies as the chief cause for the financial crisis of 2007-2009, revealing an urgent need for financial sector reform.

The International Non-Profit Credit Rating Agency (INCRA) is an attempt to alter the way in which the economy approaches the rating of debt. By advancing a non-profit ideal, based upon long-term considerations, the agency hopes to penetrate an industry that has been widely recognised as being culpable in the creation of the Financial Crisis of 2008.Yet this project is in its infancy. This article is therefore an attempt to detail what the INCRA project is and what it hopes to do. Once these aspects have been established, the article offers a potential regulatory avenue that may assist the Bertelsmann Foundation with having its aim of establishing the INCRA project realised.

The failure of credit rating agencies to properly assess risks of complex financial securities was instrumental in setting off the global financial crisis. This paper studies the incentives of companies and rating agencies and argues that the way the current rating market is organized may provide agencies with intrinsic disincentives to accurately report credit risk of securities they rate. Informational inefficiency is only enhanced when rating agencies function as an oligopoly or when they rate structured products. We discuss possible market and regulatory solutions to these problems.

“Moody’s Credit Ratings and The Subprime Mortgage Meltdown” reviews the 2008 financial crisis and the impact to homeowners by investment firms, lenders and other market and nonmarket stakeholders.  Moody’s CEO, Raymond McDaniel, created an environment within the organization that put greater value on increasing market share, improving shareholders return on investment and being primarily driven by bottom-line results.  Moody’s business model started changing in 1975 as a result of the Securities and Exchange Commission (SEC) designating Moody’s, S&P and Fitch as Nationally Recognized Statistical Rating Organizations (NRSRO’s), giving each organization a quasi-regulatory role.  As a result, Moody’s and the other two organizations started charging bond issuers to rate their products.  This created a conflict of interest for Moody’s and the other two rating agencies; bond issuers started to shop for the best ratings from the three agencies.  The rating agencies, in turn, failed to meet their obligation to provide independent, objective ratings on the financial instruments they were paid to rate (Lawrence & Weber, 2011, pp. 454-456). 
    This failure to provide independent, objective ratings was evidently clear during the housing bubble that occurred during the past decade.  Structured finance products like residential mortgage-backed securities (RMBS) became very popular as they appeared to supersede poor returns in the markets and the Federal Reserve Bank’s low interest rate policies.  The RMBS’ were highly sought after because of their higher than normal returns. These instruments consisted of bundled home loans purchased by investment banks, then the creation of a pool of home loans that appeared to be bond equity.  The problem with RMBS’ was that there was little transparency and they required sophisticated systems to securitize (Lawrence & Weber, 2011, pp. 456-462).
    The popularity of the RMBS’, public policy that promoted home ownership, and home financing products that allowed for questionable loans created an atmosphere that lacked oversight.  Moody’s showed little restraint in this environment and jumped right into the housing bubble market.  In the five years, leading up to 2006, structured finance instruments drove almost 40% of their revenues, and resulted in leading operating margin performance amongst companies in the S&P 500 for five straight years (Lawrence & Weber, 2011, p. 456).  Because of Moody’s financial success, CEO Raymond McDaniel, enjoyed a salary of $7.4 million.  Under his leadership, the organization was primarily applying the ownership theory versus the stakeholder theory (Lawrence & Weber, 2011, p. 6).  Moody’s may not have broken the law, but they clearly did not reflect the ethics and leadership the public needed from them during the period leading up to the financial crisis.

We investigate the relationship between a bank's rating and its business model and hypothesize that relationship changed through the crisis. We use bank ratings by Fitch, Moody's and S&P's from 2006 to 2009 and proxy the business model via an index given by a banks' traditional income share in total income. In a sample of 241 listed banks from 39 countries, controlling for sovereign ratings and other bank characteristics, we find that banks with higher values of the index had: i) similar ratings to other banks until 2007; ii) better rating performance through 2008-2009. The evidence supports our hypothesis. JEL Classification: G1, G15, G21, G24;

Research Question/Issue: Conventional regulatory reforms of the financial system focus on standard economic assumptions of self-interested, rational actors. The Global Financial Crisis (GFC) and similar financial failures highlight that there are limits to this approach. Instead we use a norm-based (or soft law) perspective to examine how the systemic problems underlying the GFC lay not so much in neo-classical economic assumptions of self-interest, but in unchecked financial innovation exploited by norms of buyer beware and ratings agency reliance among market participants. Fueled by sectorwide remuneration practices, these norms created information asymmetries that fundamentally undermined the integrity of the market. Research Findings/Insights: We present a model that highlights how investment banks, as professional service firms, have superior information to their clients. This presents an information asymmetry problem whereby they can exploit the market norm of caveat emptor (buyer beware) when developing innovative financial transactions. We propose a model highlighting how flawed financial innovation can lead to widespread, systemic problems of assessing and pricing risk because market participants can actively develop and promote flawed transactions. This problem is exacerbated where there is an overreliance on credit ratings agencies (due to the high information and search costs facing buyers) and a reduced emphasis on director fiduciary duties in financial Special Purpose Entities. Theoretical/Academic Implications: Social norms that underpin financial markets are central to market regulation. Our approach provides a re-examination of the often unquestioned use of universal norms for differing market transactions in the financial sector. Researchers need to explore the interaction between social norms and market contexts (such as financial innovation) to better understand the behavior of financial markets. We contend that a mismatch between norms and market mechanisms can lead to significant unintended outcomes. Our approach of combining soft law (norms) and hard law (regulation) approaches to regulation provides added insights into agency, stewardship, and institutional theories. Practitioner/Policy Implications: Regulators need to understand norms and financial market contexts to develop better legislative interventions. Specifically, differentiating between transaction types in financial markets will address the problems associated with information and search costs facing buyers of flawed financial innovation. We also provide proposals for policy makers seeking to embed accountability for risk taking across the key participants in the financial system to minimize market distortions in the majority of the financial sector.

Banks and other financial institutions which were „too-bigto- fail“ (TBTF) played a central role in the Global Financial Crisis of 2007– 2009. The article lays out how misguided policies enabled banks to grow both in size as well as in complexity and therefore acquire TBTF status, particularly in the 10-year period preceding the crisis. The article then proceeds by detailing how an ill-designed policy framework, relying on supposed market approaches to regulation – including self-regulation and credit rating agencies – enabled TBTF financial institutions to game the system. They were thereby able to exploit the negative externalities which the flawed policy framework – in connection with TBTF status – had granted to large, systemically important financial institutions. The article therefore identifies defective government policies as the chief cause of the financial crisis of 2007–2009, revealing an urgent need for financial sector reform.

The housing crisis of the 2000s exposed fissures in the U.S. financial system. These shortcomings allowed the system to become encumbered with excessive risk and ultimately triggered the worst economic downturn since the Great Depression. In the wake of the deep recession, many academics and researchers wrote post-mortems identifying key causes of the crisis. In 2010, Congress passed the Wall Street Reform and Consumer Protection Act, also known as Dodd-Frank, and President Obama signed it into law. It sought to address many of the identified problems by reforming regulations pertaining to mortgage lending, securities trading, banking, insurance, consumer protection, and corporate governance. This chapter explores three causes of the crisis that the regulatory reforms have yet to fully address. First, we highlight challenges that prevented credit rating agencies from being a useful source of information for mortgage-backed securities investors to impose effective market discipline on issuers. Second, we show the failure of several institutional arrangements designed to prevent firm owners and managers from looting the institutions over the short run at the expense of shareholders, who are expecting a maximization of profits over the longer term. Finally, we consider markets from the consumer perspective. We note the tension between overcoming market tendencies to ration credit and exposing households with limited resources to risks associated with products that can broaden access to credit by easing borrowing constraints. In each case, we offer possible strategies for more effectively tackling these problems. Regarding ratings agencies, we propose a new structure where agency-investor conflicts of interest are removed and agencies only assess " ratings eligible " products. Reforms in executive compensation, covenant banking for investment banks, and increased penalties for looting that make criminal liability a real deterrent for firm owners and managers are possible avenues to reduce the likelihood of looting by insiders. Third, we argue that significant investments should be made in financial education to make consumers an additional bulwark – to go with laws and regulations – against abuses and bad outcomes.

Kredi derecelendirme kuruluşlarının ülkeler için yapmış oldukları not açıklamaları küresel sermayenin hareket yönünü ve yatırımcıların yatırım kararları için önem arz etmektedir. Uluslararası yatırımcılar portföy tercihlerini ve yatırım yapacakları piyasaları seçerken derecelendirme kuruluşlarının değerlendirme notlarını göz önünde bulundurmaktadır. Bu anlamda kredi derecelendirme kuruluşlarının ülkeler için yapmış oldukları not açıklamaları ülke piyasaları etkileyen bir faktördür. Bu çalışmada da uluslararası derecelendirme kuruluşlarından olan S&P, Moody's ve Fitch'in 2012-2016 yılları arasında Türkiye için yapmış oldukları not açıklamalarının Borsa İstanbul'da yer alan altı sektör endeksi üzerindeki etkisi olay çalışması yöntemi (event study) ile analiz edilmiştir. Analiz sonuçlarında yapılan not açıklamalarının yarı yarıya seçili endeksler üzerinde etki oluşturduğu tespit edilmiştir.

This paper deals with the proposed use of sovereign credit ratings in the "Basel Accord on Capital Adequacy" (Basel II) and considers its potential effect on emerging markets financing. It investigates in a first attempt the consequences of the planned revisions on the two central aspects of international bank credit flows: the impact on capital costs and the volatility of credit supply across the risk spectrum of borrowers. The empirical findings cast doubt on the usefulness of credit ratings in determining commercial banks' capital adequacy ratios since the standardized approach to credit risk would lead to more divergence rather than convergence between investment-grade and speculative-grade borrowers. This conclusion is based on the lateness and cyclical determination of credit rating agencies' sovereign risk assessments and the continuing incentives for short-term rather than long-term interbank lending ingrained in the proposed Basel II framework. JEL Classification: E44, E47, G15

Cassazione sulla giurisdizione per le azioni di responsabilità proposte dagli investitori contro le agenzie di rating. -2. I tratti distintivi dell'attività di rating e la loro rilevanza internazionalprivatistica. -3. L'interpretazione dell'art. 5 n. 3 del regolamento Bruxelles I nella giurisprudenza della Corte di giustizia dell'Unione europea. -4. Il ruolo della protezione della vittima nell'interpretazione dell'art. 5 n. 3 in relazione agli illeciti finanziari. -5. L'individuazione del luogo del fatto generatore del danno: il luogo in cui è stabilita l'agenzia di rating. -6. L'individuazione del luogo del danno: considerazioni generali. -7. Segue: il luogo del danno meramente patrimoniale. -8. Segue: la localizzazione del danno da rating errato: il mercato su cui il titolo viene negoziato ed acquistato. -9. La difficoltà di determinare la giurisdizione per gli illeciti che hanno ad oggetto titoli quotati su piú mercati o al di fuori di un mercato regolamentato.

La crisi che ha segnato l'ultimo decennio ha influenzato anche il diritto dei mercati finanziari ed ha evidenziato molti problemi che caratterizzavano i mercati internazionali. Il lavoro si sofferma sul ruolo delle agenzie di rating; sulla responsabilità delle stesse; sui parametri comportamentali dell'intermediario nel sistema di rating, approfondendo altresì le diverse forme di tutela per investitori ed emittenti danneggiati dalla diffusione di rating incongrui sul paino nazionale ed europeo.

This paper deals with the proposed use of sovereign credit ratings in the "Basel Accord on Capital Adequacy" (Basel II) and considers its potential effect on emerging markets financing. It investigates in a first attempt the consequences of the planned revisions on the two central aspects of international bank credit flows: the impact on capital costs and the volatility of credit supply across the risk spectrum of borrowers. The empirical findings cast doubt on the usefulness of credit ratings in determining commercial banks' capital adequacy ratios since the standardized approach to credit risk would lead to more divergence rather than convergence between investment-grade and speculative-grade borrowers. This conclusion is based on the lateness and cyclical determination of credit rating agencies' sovereign risk assessments and the continuing incentives for short-term rather than long-term interbank lending ingrained in the proposed Basel II framework. JEL Classification: E44, E47, G15

Today we are witnessing a crisis caused by economic formulae developed without a responsible exercise of judgment and, in many instances, with a shocking disregard for the truth. The virtue of truthfulness is not just some abstract moral principle. Rather, it is a ...

The aim of this paper is the price calibration of basket default swap from Japanese market data. The value of this instruments depend on the number of factors including credit rating of the obligors in the basket, recovery rates, intensity of default, basket size and the correlation of obligors in the basket. A fundamental part of the pricing framework is the estimation of the instantaneous default probabilities for each obligor. Because default probabilities depend on the credit quality of the considered obligor, well-calibrated credit curves are a main ingredient for constructing default times. The calibration of credit curves take into account internal information on credit migrations and default history. We refer to Japan Credit Rating Agency to obtain rating transition matrix and cumulative default rates. Default risk is often considered as a rare-event and then, many studies have shown that many distributions have fatter tails than those captured by the normal distribution. Subsequently, the choice of copula and the choice of procedures for rare-event simulation govern the pricing of basket credit derivatives. introduced an Importance Sampling technique for rare-event that forces a predetermined number of defaults to occur on each path. We consider using Gaussian copula and tstudent copula and study their impact on basket credit derivative prices. We will present an application of the Canonical Maximum Likelihood Method (CML) for calibrating t-student copula to Japanese market data.

The experience in the period during and after the Asian crisis of 1997-98 has provoked an extensive debate about the credit rating agencies' evaluation of sovereign risk in emerging markets lending. This study analyzes the role of credit rating agencies in international financial markets, particularly whether sovereign credit ratings have an impact on the financial stability in emerging market economies. The event study and panel regression results indicate that credit rating agencies have substantial influence on the size and volatility of emerging markets lending. The empirical results are significantly stronger in the case of government's downgrades and negative imminent sovereign credit rating actions such as credit watches and rating outlooks than positive adjustments by the credit rating agencies while by the market participants' anticipated sovereign credit rating changes have a smaller impact on financial markets in emerging economies.

This paper discusses the role of credit rating agencies during the recent …nancial crises. In particular, it examines whether the agencies can add to the dynamics of emerging market crises. Academics and investors often argue that sovereign ratings are responsible for pronounced boom-bust cycles in emerging-markets lending. Using a VAR system this paper examines how US dollar bond yield spreads and international liquidity react to an unexpected sovereign rating change. Contrary to common belief and previous studies, the empirical results suggest that an abrupt downgrade does not necessarily intensify …nancial crises.

In this paper, a discussion has been made about the installed generation capacity, power availability and power sold the number of electricity consumers, sector-wise electricity consumed, pending electricity bills, credit rating and settlement of pending electricity bills in the Haryana. The one reason behind the pending electricity bills may be the promises made by political parties at the time of elections to waive-off the electricity bills. This provides protection to consumers, especially in political sensitive districts. So, the Haryana Power Utilities (HPUs) are required to be changed adequately from substantial losses to the sound profit-making units by taking legitimate actions. The accessibility and availability of moderate and subjective power offer fuel to the motor of monetary development.

Rating suwerena stanowi użyteczną miarę prawdopodobieństwa spłaty
zobowiązań wynikających z emisji skarbowych papierów dłużnych. Agencje ratingowe wypracowały zaawansowaną metodykę analizy emitentów tych instrumentów, a ich wpływ na globalne rynki finansowe dynamicznie powiększał się. Niestety – sposób formułowania ocen ratingowych w okresach destabilizacji (przede wszystkim w globalnym kryzysie finansowym lat 2007–2009, a także w czasie niedawnych wstrząsów w strefie euro), uwidocznił ograniczenia tkwiące zarówno w strukturze agencji ratingowych, jak i w ich otoczeniu. Niniejsza analiza stanowi próbę oceny tych barier, oraz możliwych reform warunków działalności agencji ratingowych, ze szczególnym uwzględnieniem szacunków wiarygodności kredytowej państw i rządów.

ÖZET: Küreselleşmenin ve iletişim teknolojilerinin gelişmesi sayesinde ülkeler arası sermaye hareketleri önemli derecede hızlanmış ve karmaşık bir yapı haline gelmiştir. Sermaye ihtiyacı olan veya sermayesinden kazanç sağlamak isteyen ülkelerin ve şirketlerin yatırım kararı alırken yaşadıkları en büyük sorun asimetrik bilgi eksikliğidir. Mali piyasaların çok çeşitli olmasıyla yaşanan karmaşıklığın analiz edilmesinin yüksek maliyetli olması ve standart bilgi eksikliği nedeniyle kredi derecelendirme kuruluşlarına ihtiyaç duyulmuştur. 19. yüzyılda ihtiyaç olarak ortaya çıkan kredi derecelendirme faaliyetleri günümüzde şirketlerin ve ülkelerin ekonomik yapılarına etki edebilecek kadar güçlü konuma gelmiştir. Dünyada çok sayıda küresel ve yerel derecelendirme kuruluşları bulunmasına rağmen Moody's, S&P ve Fitch şirketlerinden oluşan üç büyük şirket, kredi derecelendirme piyasasının %96'lık kısmını oluşturmasıyla derecelendirme sektörünün oligopol bir yapıya sahip olmasına neden olmuştur. Üç büyük kredi derecelendirme kuruluşu günümüzde yaşanan sermaye hareketlerini ciddi miktarda etkilemektedir. Küresel ekonominin önemli aktörleri arasında yer alan gelişmekte olan ülkeler de bu kuruluşların faaliyetlerinden ve açıklamalarından etkilenmektedir. Çünkü Türkiye gibi gelişmekte olan ülkelerin yatırıma dönüştürebilecekleri tasarrufların düşük seviyede olması sebebiyle bu ülkeleri dış kaynak kullanmaya itmiş ve sermaye hareketlerinden etkilenir duruma getirmiştir. Üç büyük kredi derecelendirme kuruluşu yaptıkları not değişimlerinin yanı sıra ülkelerin siyasal ve ekonomik gelişmeleri hakkında yaptıkları açıklamalar, tahminler ve yorumlar ile sermaye piyasalarını çeşitli yollarla etkilemektedir. Bu çalışmanın amacı S&P, Moody's ve Fitch tarafından Türkiye hakkında 2007 yılından sonra günümüze kadar yapılan, açıklamalar ve bu açıklamaların Borsa İstanbul üzerindeki günlük, haftalık ve aylık etkilerini incelemektir ve yorumlamaktır.

ABSTRACT: Thanks to development of communication technology and globalization, international capital movements have accelerated significantly and have became complicated. Someone who needs capital and gain more money from their own capital has many problems but the best one is shortage of asymmetric information. Investors and other market participants are in need of standard information

The aim of this paper is the price calibration of basket default swap from Japanese market data. The value of this instruments depend on the number of factors including credit rating of the obligors in the basket, recovery rates, intensity of default, basket size and the correlation of obligors in the basket. A fundamental part of the pricing framework is

Yüzyılı aşkın bir süredir faaliyetlerine devam eden kredi derecelendirme kuruluşlarının önemi
özellikle finansal piyasaların birbirine bağımlı hale gelmesi ve neo-liberal politikaların güçlenmesi ile daha da artmıştır. Bu kuruluşlar piyasaların etkinliğini azaltan ve bu nedenle çeşitli sorunlara yol açan küresel asimetrik finansal bilgileri belirli kurallar çerçevesinde toplayarak izler, değerlendirir ve ilgililere servis eder. Derecelendirme notları ülkeler açısından uluslararası bir saygınlık unsuru olarak değerlendirilmektedir. Ülkelerin borçlanmalar için katlanacakları faiz tutarları üzerinde önemli etkisi olan bu notlar aynı zamanda o ülke için uygulanacak güvenilirlik düzeyinin belirlenmesinde de önemlidir. Asya Krizi, Küresel Finansal Kriz, Euro Bölgesi Borç Krizi gibi krizler; Enron, WorldCom ve Lehman
Brothers gibi şirketlerin yüksek notlarına rağmen iflası; verilen yanlış notların ülkeler üzerinde yıkıcı etkileri gibi somut olaylar kredi derecelendirmelerinin sorgulanmasına yol açmıştır. Kredi derecelendirme kuruluşlarının Yunanistan ekonomisindeki olumsuz gelişmelere rağmen doğru olarak kredi derecelendirmesi yapmadıkları, borç krizi ortaya çıktıktan sonra yaptıkları art arda ölçüsüz kredi not düşürümleri ile borç krizinin derinleşmesine katkı sağladıkları da tespit edilmiştir. Bu nedenlerle kredi derecelendirme kuruluşlarının güvenilirliklerinin ve tarafsızlıklarının tartışılması gerekmektedir. Bu bilgiler ışığında
çalışmada neo-liberal politikalar ekseninde Moody’s, Standart & Poors ve Fitch gibi kredi derecelendirme kuruluşlarının rolü ve bu kuruluşların ülke ekonomileri üzerindeki etkileri değerlendirilmeye çalışılacaktır.

The importance of credit rating agencies continued to operate for more than a century has increased even more especially the financial markets becoming dependent and the strengthening of neo-liberal policies. These agencies have monitored, assessed and provided global asymmetric financial information within specific rules, which reduces the effectiveness of markets and thereby causes various problems. The rating grades are regarded as an international prestige in terms of countries. These grades, which have a significant impact on the amount of interest borrowed by countries, are also important in determining the level of credibility to be applied for that country. Asian Crisis, Global Financial Crisis, Euro Zone Debt Crisis and WorldCom, Lehman Brothers and Enron's bankruptcy despite the high gardes have led to the questioning of credit ratings. It has also
been found that credit rating agencies did not correctly credit ratings in spite of the negative
developments in the Greek economy and they have contributed to the deepening of the debt crisis by reducing the credit ratings on a daily basis after the debt crisis emerged. For these reasons, the credibility and impartiality of credit rating agencies will need to be discussed. In the light of this information, the role of credit rating agencies such as Moody's, Standard & Poors and Fitch in the direction of neo-liberal policies and their impact on the country's economies will be tried to be evaluated.

ABD merkezli S&P, Moody's ve Fitch kredi derecelendirme kuruluşları dünya tahvil piyasasının yaklaşık yüzde 95'ini kontrol etmektedir. Başka kredi derecelendirme kuruluşları olsa da bu üçü ve özellikle de yüzde 80 pazar payına sahip olan S&P ve Moody's tarafından verilen notlar tüm finansal sistemi hatta ülkeleri etkilemektedir. Kredi derecelendirme kuruluşları ve ülke notları: Bunların Türkiye ile derdi ne? Kredi derecelendirme kuruluşları hakkında tartışmalar ülkemizde hep gündemdedir. Konu soğur gibi olsa dahi birkaç hafta sonra tekrar manşetlere çıkar ve tartışmalar başlar. 15 Temmuz FETÖ darbe girişimi sonrasında S&P'nin Türkiye'nin kredi notunu indirmesiyle birlikte kredi derecelendirme kuruluşları hakkındaki tartışmalar da yeniden alevlenmiş oldu. Biz de Twitter takipçilerimize S&P'nin Türkiye'nin notunu indirmesi hakkındaki görüşlerini sorduk. Yüzde 80'i bunun yanlış olduğunu belirtirken yüzde 20'si de S&P'nin kararını doğru buldu. Doğal olarak büyük çoğunlukla insanlarımız " Bunların Türkiye'yle ne derdi var? " diye soruyor. Olaya dışarıdan bakacak olursak aslında sadece Türkiye ile dertlerinin olmadığını görüyoruz. Çin ve Rusya'da neler oldu? Geçtiğimiz Mart ayında önce Moody's ardından S&P, Çin'in kredi notunu görünümünü negatife indirmiş, ardından Çin tarafından durumun yanlış değerlendirildiğine dair yoğun açıklamalar gelmişti. Rusya'nın da Moody's, S&P ve Fitch gibi kredi derecelendirme kuruluşları hakkında siyasi davrandıkları gerekçesiyle olumsuz görüşleri bulunuyor. Bu nedenle hem Çin hem de Rusya kendi kredi derecelendirme kuruluşlarını kurdular. Rusya ve Çin'in bu görüşlerine belki Batı'da fazla itibar edilmiyor olabilir ancak Almanya'nın eski ekonomi bakanlarından Rainer Brüderle'nin de bu üç kredi derecelendirme kuruluşu hakkında benzer fikirleri bulunuyor. Handelsblatt gazetesine yaptığı açıklamada Brüderle şöyle diyor: " Komplo teorilerine yakınlık duymuyorum. Ama bazen Amerikalı kredi derecelendirme kuruluşları ve fon yöneticilerinin Euro Bölgesi'ne karşı çalıştıkları izleniminden kaçınmak kolay olmuyor. "

The object of this study is to examine the impact of new ratings, credit rating changes and commercial paper ratings on UK common stock returns. There has been almost no research on this topic outside of the US 1 despite the growing importance of ratings in global financial markets (Dale and . The motivation behind previous research in this area has been to evaluate the relevance of bond ratings for efficiency of capital markets: in particular, do rating agencies have superior information and/or analytical skills and hence can their pronouncements influence excess bond or equity returns?

Ottobre 2010 c Luiss Guido Carli. La riproduzione è autorizzata con indicazione della fonte o come altrimenti specicato. Qualora sia richiesta un'autorizzazione preliminare per la riproduzione o l'impiego di informazioni testuali e multimediali, tale autorizzazione annulla e sostituisce quella generale di cui sopra, indicando esplicitamente ogni altra restrizione.

Credit rating agencies (CRAs) provide investors and regulators, as well as other stakeholders, with certifications of the quality of financial assets. As such, they are pivotal players in financial markets. Their conduct has accordingly attracted the attention of scholars, media, and policy analysts. This entry sketches the functioning of the ratings market and explores its failures. Additionally, it presents some of the proposals advanced by the law and economics literature to induce CRAs to issue accurate ratings and hints at the discussion concerning the effects of the latest US regulatory developments on the ratings market.

The aim of this study is to identify the relationship between fi scal policy and sovereign credit ratings within a comparative framework for the post-2000 period. In this study, indicators affecting credit notes of three rating agencies through domestic savings, growth, infl ation, unemployment , current account balance and public revenues, public expenditures, primary defi cits, budget defi cits and public debt data for selected countries for the period between 2001 and 2016 are evaluated by using probit analysis under four scenarios. The study reveals that growth, unemployment , savings, current account defi cit and public debt have come to the forefront in the realiza-tions and far estimates, while the main indicators in the public sector, namely the impact of expenditure , defi cit, primary balance and debt on rating decisions, are more dominant in the near estimates. These results show that the factors that are differentiating the credit rating evaluation period are the indicators of public fi nance. It seems that models used by the credit institutions are more likely to show short-term outcomes in the sense of public fi nance parameters mainly refl ecting the macroeconomic responsibility level of the ruling governments.