Bank ratings: what determines their quality?
Bank risk during the financial crisis: do business models matter?
Harald Hau,
Sam Langfield and
David Marques-Ibanez
Economic Policy, 2013, vol. 28, issue 74, 289-333
Abstract:
This paper examines the quality of credit ratings assigned to banks by the three largest rating agencies. We interpret credit ratings as relative assessments of creditworthiness, and define a new ordinal metric of rating error based on banks' expected default frequencies. Our results suggest that on average large banks receive more positive bank ratings, particularly from the agency to which the bank provides substantial securitization business. These competitive distortions are economically significant and contribute to perpetuate the existence of ‘too-big-to-fail’ banks. We also show that, overall, differential risk weights recommended by the Basel accords for investment grade banks bear no significant relationship to empirical default probabilities.— Harald Hau, Sam Langfield and David Marques-Ibanez
Date: 2013
References: Add references at CitEc
Citations: View citations in EconPapers (25)
Downloads: (external link)
http://hdl.handle.net/10.1111/1468-0327.12009 (application/pdf)
Access to full text is restricted to subscribers.
Related works:
Working Paper: Bank ratings-What determines their quality? (2012) 
Working Paper: Bank Ratings: What Determines Their Quality? (2012) 
Working Paper: Bank ratings: What determines their quality? (2012) 
Working Paper: Bank ratings: what determines their quality? (2012) 
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:oup:ecpoli:v:28:y:2013:i:74:p:289-333.
Access Statistics for this article
Economic Policy is currently edited by Ghazala Azmat, Roberto Galbiati, Isabelle Mejean and Moritz Schularick
More articles in Economic Policy from CEPR, CESifo, Sciences Po Contact information at EDIRC., CES Contact information at EDIRC., MSH Contact information at EDIRC.
Bibliographic data for series maintained by Oxford University Press ().