评级技术的过去与现在隐藏在众目睽睽之下

Q1 Economics, Econometrics and Finance

Financial Markets, Institutions and Instruments Pub Date : 2016-01-19 DOI:10.1111/fmii.12035

Berry K. Wilson, John T. Donnellan

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引用次数: 1

摘要

次贷危机严重损害了评级机构的信誉及其分析信用风险的方法。除了债券评级存在的其他问题外，本研究还调查了评级机构使用的技术自1909年约翰·穆迪(John Moody)发布他的第一份债券评级以来，充其量已经过时，几乎没有变化的问题。该研究使用大萧条时期的铁路数据，将穆迪债券评级的预测准确性与Vassalou和Xing(2004)的结构建模方法进行了比较。研究结果表明，结构建模方法优于该时期穆迪债券评级中纳入的专家判断。

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The Technology of Ratings Then and Now; Hiding in Plain Sight

The subprime crisis seriously undermined the credibility of the rating agencies and their approach to analyzing credit risk. Along with other identified problems with bond ratings, this study investigates the issue that the technology used by the ratings agencies is at best dated and little changed since John Moody published his first bond ratings in 1909. The study compares the predictive accuracy of Moody's bond ratings with the structural modeling approach of Vassalou and Xing (2004), using railroad data from the Great Depression. Study results show that the structural modeling approach outperforms the expert judgment incorporated in Moody's bond ratings from that period.

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来源期刊

Financial Markets, Institutions and Instruments Economics, Econometrics and Finance-Economics, Econometrics and Finance (all)

CiteScore

1.80

自引率

0.00%

发文量

期刊介绍： Financial Markets, Institutions and Instruments bridges the gap between the academic and professional finance communities. With contributions from leading academics, as well as practitioners from organizations such as the SEC and the Federal Reserve, the journal is equally relevant to both groups. Each issue is devoted to a single topic, which is examined in depth, and a special fifth issue is published annually highlighting the most significant developments in money and banking, derivative securities, corporate finance, and fixed-income securities.