Should CAMELS ratings be publicly disclosed?

SingRu Hoe (), Srinivas Nippani () and John Diltz ()
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SingRu Hoe: Texas A&M University - Commerce
Srinivas Nippani: Texas A&M University - Commerce
John Diltz: University of Texas at Arlington

Economics Bulletin, 2017, vol. 37, issue 3, 1567-1572

Abstract: We explore the optimal disclosure of CAMELS ratings. We employ a Stackelberg leader-follower model to obtain net social welfare from disclosure. We extend the model by incorporating dynamic stochastic optimization, resulting in an optimal stopping problem that we solve using variational inequalities. Optimal disclosure is characterized by an explicit ratio of social benefit to social cost.

Keywords: CAMELS Ratings; Stackelberg Leader-Follower Game; Optimal Stopping; Variational Inequality (search for similar items in EconPapers)
JEL-codes: Z0 (search for similar items in EconPapers)
Date: 2017-07-16
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