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2011, vol. 58, br. 2, str. 219-227
Credit rating agencies and moral hazard
(naslov ne postoji na srpskom)
aCenter for Investments and Finance, Belgrade + Univerzitet u Novom Sadu, Prirodno-matematički fakultet
bUniverzitet u Beogradu, Ekonomski fakultet + National Bank of Serbia, Belgrade
cUniverzitet u Beogradu, Ekonomski fakultet

e-adresamilos.bozovic@cif.co.rs, branko.urosevic@nbs.rs, boskoz@ekof.bg.ac.rs
Projekat:
Rizici finansijskih institucija i tržišta u Srbiji - mikroekonomski i makroekonomski pristup (MPNTR - 179005)

Ključne reči: credit rating agencies; solicited and unsolicited ratings; moral hazard
Sažetak
(ne postoji na srpskom)
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.
Reference
*** (2010) Rethink on rating agencies urged. Financial Times Europe, Apr. 30, 4
*** (2010) The restoring American financial stability act of 2010. Library of congress, Senate Report 111-176
Altman, E., Rijken, H. (2004) How rating agencies achieve rating stability. Journal of Banking & Finance, 28(11): 2679-2714
Ashcratf, A.B., Schuermann, T. (2008) Understanding the securitization of sub prime mortgage credit. Federal Reserve Bank of New York Staff Reports, br. 318, March
Bank for International Settlements - BIS (2006) International Convergence of Capital Measurement and Capital Standards: A Revised Framework (Comprehensive Version). Basel: BIS
Bannier, C.E., Behr, P., Güttler, A. (2007) Why are unsolicited ratings lower than solicited ratings?: A theoretical and empirical assessment. www.finance.uni-frankfurt.de/master/brown/181.pdf
Becker, B., Milbourn, T. (2010) Reputation and competition: Evidence from the credit rating industry. Harvard Business School, Working Paper 09-051
Becker, B., Milbourn, T. (2011) How did increased competition affect credit ratings?. Journal of Financial Economics, Forthcoming
Bolton, P., Freixas, X., Shapiro, J. (2009) The Credit Ratings Game. u: NBER Working Paper 14712
Cantor, R., Packer, F. (1994) The credit rating industry. Federal Reserve Bank of New York Quarterly Review, 19(2): 1-26
Cantor, R., Frank, P. (1996) Multiple Ratings and Credit Standards: Differences of Opinion in the Credit Rating Industry. u: The Federal Reserve Bank of New York Staff Reports 12
Metz, A., Cantor, R., Stumpp, P. (2004) The effectiveness of credit ratings as indicators of relative industry default risk. Moodys Investor Service Global Credit Research, Special Comment
Mishkin, S.F. (1999) Global financial instability: Framework, events, issues. Journal of Economic Perspectives, Vol. 13, No. 4
Mukhopadhyay, B. (2004) Moral hazard with rating agency: An incentive contract approach. Annals of Economics and Finance, 5, str. 313-333
Nakamura, L.I., Roszbach, K. (2010) Credit ratings and bank monitoring ability. European Banking Center Discussion Paper 2010-10S
O'Hara, A.P. (2011) International subprime crisis and recession: Emerging macroprudential, monetary, fiscal and global governance. Panoeconomicus, vol. 58, br. 1, str. 1-17
Partnoy, F. (2002) The Paradox of Credit Ratings. u: Levich Richard M., Giovanni Majnoni, Carmen Reinhart [ur.] Ratings, Rating Agencies and the Global Financial System, Boston: Kluwer Academic Publishers
Piazolo, M. (2006) Why have official rating agencies failed in the past, and will they in the future?. Ekonomia, 9(1), str. 3-20
Reinhart, C.M. (2002) Sovereign credit ratings before and after financial crises. MPRA Working Paper 7410
 

O članku

jezik rada: engleski
vrsta rada: izvorni naučni članak
DOI: 10.2298/PAN1102219B
objavljen u SCIndeksu: 12.07.2011.

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