Ratings, Rating Agencies and the Global Financial System

ISBN-13: 9781402070167 / Angielski / Twarda / 2002 / 379 str.

Richard M. Levich;Giovanni Majnoni;Carmen Reinhart

Opis

The business of credit ratings began in the United States in the early 1900s. Over time, credit ratings have gradually taken on an expanding role, both in the United States and abroad and in official financial market regulation as well as in private capital market decisions. However, in 1999 the Bank for International Settlements (through its Committee on Banking Supervision) proposed rule changes that would provide an explicit role for credit ratings in determining a bank's required regulatory risk capital. Once implemented, this BIS proposal (often referred to as Basel 2) would vastly elevate the importance of credit ratings by linking the required measure of bank capital to the credit rating of the bank's obligors. With these regulatory changes under active discussion, research into the role for ratings and rating agencies in the global financial system is particularly apropos.
Ratings, Rating Agencies and the Global Financial System brings together the research of economists at New York University and the University of Maryland, along with those from the private sector, government bodies, and other universities. The first section of the volume focuses on the historical origins of the credit rating business and its present day industrial organization structure. The second section presents several empirical studies crafted largely around individual firm-level or bank-level data. These studies examine (a) the relationship between ratings and the default and recovery experience of corporate borrowers, (b) the comparability of credit ratings made by domestic and foreign rating agencies, and (c) the usefulness of financial market indicators for rating banks, among other topics. In the third section, the record of sovereign credit ratings in predicting financial crises and the reaction of financial markets to changes in credit ratings is examined. The final section of the volume emphasizes policy issues now facing regulators and credit rating agencies.

Spis treści

List of Contributors. Preface. Introduction. Ratings, Rating Agencies and the Global Financial System: Summary and Policy Implications; R.M. Levich, et al. Part 1: History, Value and Industrial Structure of Credit Rating and Reporting Agencies. 1. A Historical Primer on the Business of Credit Rating; R. Sylla. 2. The Credit Rating Industry: An Industrial Organization Analysis; L.J. White. 3. The Paradox of Credit Ratings; F. Partnoy. Part 2: Empirical Evidence on Credit Rating Agencies: Pricing and Regulatory Aspects. 4. The Role of Credit Ratings In Bank Capital; E.I. Altman, A. Saunders. 5. A Policymaker's Guide to Choosing Absolute Capital Requirements; Mark Cary. 6. Credit Ratings and the Japanese Corporate Bond Market; F. Packer. 7. How Good is the Market at Assessing Bank Fragility: A Horse Race Between Different Indicators; P. Bongini, et al. 8. Rating Banks in Emerging Markets: What Banks Should Learn from Financial Indicators; L. Rojas-Suarez. Part 3: Empirical Evidence on Credit Ratings Agency's Performance: Macroeconomic Aspects. 9. Emerging Stock Market Instability: Do Sovereign Ratings Affect Country Risk and Stock Returns? G. Kaminsky, S. Schmukler. 10. Sovereign Credit Ratings before and After Financial Crises; C.M. Reinhart. 11. Equity Risk Premiums; A. Damodaran. Part 4: Policy Issues Facing Regulators and Credit Rating Agencies. 12. Rating Agencies: Is There an Agency Issue? R.C. Smit, I. Walter. 13. Do Banks Provision for Bad Loans in Good Times? M. Cavallo, G.Majnoni. 14. Policy Issues Facing Rating Agencies; J.S. Fons. 15. Credit Risk and Financial Instability; R.J. Herring. Index.