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Ďurovec, Marek. "Rating, trh ratingu a úvěrové riziko." Master's thesis, Vysoká škola ekonomická v Praze, 2007. http://www.nusl.cz/ntk/nusl-893.
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V posledních letech dochází ke zvyšování zájmu firem o řízení svých podnikatelských rizik. V řízení rizik vidí nástroj, který jim může pomoct dosáhnout svých cílů bez ohrožení zájmů svých akcionářů. Tato práce se zabývá speciálním produktem - úvěrovým ratigem, který představuje komplexní nástroj vyjadřující úvěrové riziko hodnocených subjektů. V práci je popsáno měření úvěrového rizika a vývoj trhu ratingu od jeho počátků po dnešek. Dále je rating popsán z hlediska jeho charakteru, nabídky a poptávky. V souvislosti s novým doporučením Basilejského výboru pro bankovní dohled, známým jako Basel II se práce věnuje ratingu jako regulatornímu nástroji. První ze tří pilířů tohoto konceptu - minimální kapitálové požadavky, je velice zajímavý pro ratingové agentury, protože doporučuje bankám postupujícím podle tzv. standardizovaného přístupu používat rating při měření úvěrového rizika. Poslední část práce se věnuje významu Basel II pro ratingové agentury a některým cyklickým aspektům ratingu.
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Wieser, Michael Florian. "Transparency in project bond ratings: assessment of rating methodologies and development of a proven rating simulator." Master's thesis, NSBE - UNL, 2014. http://hdl.handle.net/10362/11695.
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A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and EconomicsThe EU promotes the use of project bonds to develop a solid source for funding infrastructure projects. During an internship with the financial advisory team at UniCredit, the project finance rating methodologies of the major rating agencies were analyzed and a rating simulator was built to gain insights into the main rating drivers. The resulting rating simulator is not able to fully forecast a rating but provides guidance for structuring future projects. After analyzing two case studies, it appears that S&P uses the most comprehensive, Moody’s the most transparent and Fitch the most flexible methodology to rate project finance bonds.
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Grün, Bettina, Paul Hofmarcher, Kurt Hornik, Christoph Leitner, and Stefan Pichler. "Deriving Consensus Ratings of the Big Three Rating Agencies." Institute for Statistics and Mathematics, WU Vienna University of Economics and Business, 2010. http://epub.wu.ac.at/728/1/document.pdf.
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This paper introduces a model framework for dynamic credit rating processes. Our framework aggregates ordinal rating information stemming from a variety of rating sources. The dynamic of the consensus rating captures systematic as well as idiosyncratic changes. In addition, our framework allows to validate the different rating sources by analyzing the mean/variance structure of the rating errors. In an empirical study for the iTraxx Europe companies rated by the big three external rating agencies we use Bayesian techniques to estimate the consensus ratings for these companies. The advantages are illustrated by comparing our dynamic rating model to a benchmark model. (author´s abstract)Series: Research Report Series / Department of Statistics and Mathematics
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Grün, Bettina, Paul Hofmarcher, Kurt Hornik, Christoph Leitner, and Stefan Pichler. "Deriving Consensus Ratings of the Big Three Rating Agencies." Incisive Financial Publishing, 2013. http://epub.wu.ac.at/4052/1/consensus_Rev3.pdf.
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This paper introduces a model framework for dynamic credit rating processes. Our framework aggregates ordinal rating information stemming from a variety of rating sources. The dynamic of the consensus rating captures systematic as well as idiosyncratic changes. In addition, our framework allows to validate the different rating sources by analyzing the mean/variance structure of the rating deviations.
In an empirical study for the iTraxx Europe companies rated by the big three external rating agencies we use Bayesian techniques to estimate the consensus ratings for these companies.
The advantages are illustrated by comparing our dynamic rating model to a naive benchmark model. (authors' abstract)
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Karas, Vladimír. "Rating." Master's thesis, Vysoká škola ekonomická v Praze, 2006. http://www.nusl.cz/ntk/nusl-316.
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Charakteristika ratingu. Dělení a druhy ratingu (rating emise × rating emitenta; dlouhodobý rating × krátkodobý rating; mezinárodní rating × lokální rating). Obecné požadavky kladené na rating. Proces tvorby ratingu. Vyžádaný rating. Nevyžádaný rating. Ratingový proces na bázi volně přístupných informací. Uplatňované ratingové systémy. Ratingová kriteria. Využití a interpretace ratingové známky. Funkce ratingu. Rating v souvislosti s BASEL II. Rating v souvislosti s hospodářskými krizemi.
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Németh, Márian. "Rating zemi." Master's thesis, Vysoká škola ekonomická v Praze, 2007. http://www.nusl.cz/ntk/nusl-883.
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Sovereign rating has become a topic of major concern for the international financial community over the last two decades. This paper models ratings as combination of two factors ? hard and soft factors. Economical factors are the hard factors whit there statistical background. The political factors are the soft ones. It is very disturbing that the soft factors are playing a major roll in the rating agencies analysis. I found out that there isn?t any problems with the economical factors in the sovereign rating process, but in the case of political factors there are some major problems. Questionnaires and subjective answers in them may cause a falls sovereign rating process result. The cooperation between the regulative organs and the rating agencies may result in the future the losing of creditability for the sovereign country rating. Another concern is the lack of competition on the rating market with only two global rating agencies occupying 80 % of the entire market. These fakts are calling for a change in the sovereign rating markets.
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Búry, Jan. "Význam investičního ratingu a mezinárodních ratingových agentur pro stabilitu mezinárodních finančních trhů." Master's thesis, Vysoká škola ekonomická v Praze, 2010. http://www.nusl.cz/ntk/nusl-75407.
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Credit rating agencies judge the creditworthiness of the debtors and debt obligations and the relative probability of their default. Credit rating plays a very important role in the financial markets. It influences the behavior of all participants (investors, debtors and regulators) of the market transactions. The first part of the thesis deals with definition and function of the credit rating. The main controversial points in the activity of the credit rating agencies will be discussed, as well as how the industry is regulated. In the second part it is claimed that the opinions of the credit rating agencies on sovereign bonds (sovereign rating) contribute to the overheating of the economies or to the deeper recession due to procyclicity of the rating. The actual credit rating of the country will be compared with a rating based on a theoretical model designed with publicly available economic data.
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Migliozzi, Glenn T., and David Saponaro. "Bond rating agencies and the effects of a rating change." Thesis, Massachusetts Institute of Technology, 1986. http://hdl.handle.net/1721.1/32124.
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Thesis (M.S.)--Massachusetts Institute of Technology, Sloan School of Management, 1986.MICROFICHE COPY AVAILABLE IN ARCHIVES AND DEWEY.
Bibliography: leaves 80-81.
by Glenn T. Migliozzi and David Saponaro.
M.S.
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Favarato, Giulia <1989>. "Rating tradizionale e rating etico a confronto. Il caso italiano." Master's Degree Thesis, Università Ca' Foscari Venezia, 2014. http://hdl.handle.net/10579/4299.
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In questo elaborato si illustra un argomento molto discusso in questi tempi: la sostenibilità ambientale, sociale e governativa. Si può parlare di eticità o sostenibilità in modo indistinto. Nella letteratura i due termini sono utilizzati come sinonimi. Sebbene siano state avanzate molte critiche a questo argomento, poiché la teoria classica afferma che il fine ultimo dell’impresa è creare profitto, tuttavia oggi si ritiene necessario, per il buon andamento dell’impresa, integrare le politiche aziendali con l’eticità. Tutte le società quotate hanno al loro interno una politica sostenibile, che va dalla trasparenza della politica dei dividendi nei confronti della clientela (per esempio Eni) al ricliclo dei rifiuti. Queste politiche, chiamate anche ESG (Environmental, Social and Governance), sono descritte nei siti internet delle varie società. Ogni società quotata ha nella propria home page la voce “sostenibilità”.
Proprio grazie all’importanza che ogni impresa dà a questo tema, è sembrato interessante svilupparlo per comprendere ogni suo aspetto. Nel presente lavoro di tesi, si è trattato di Corporate Social Reponsibility, in ambito aziendale, e del corrispondente Socially Responsible Investment, in ambito finanziario. Dopo aver trattato questi due “strumenti” legati alla sostenibilità, si è introdotto un terzo “strumento” utile alla nostra analisi: il rating tradizionale e il rating etico.
La domanda che ci siamo posti all’inizio dello studio è stata: “C’è un legame tra rating tradizionale e rating etico?” Secondo alcuni studi, l’impresa altamente sostenibile riesce ad avere vita più lunga e un costo del debito minore, poiché ritenuta più affidabile. In questo studio si è utilizzato il rating tradizionale come proxy del costo del debito per vedere se esiste una qualche connessione. Si è divisa la ricerca in due ambiti: a livello della singola società e a livello settoriale. A livello societario il rating etico è risultato essere non significativo, mentre a livello settoriale si è ottenuta una significatività.
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Zimmerli, Laurent. "Rating autonomous systems." Zurich : ETH, Swiss Federal Institute of Technology, Department of Computer Engineering and Networks Laboratory (TIK), 2008. http://e-collection.ethbib.ethz.ch/show?type=dipl&nr=424.
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Ergin, Elfriede. "The rating industry." Thesis, University of Salford, 2005. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.490548.
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Robbins, Peter. "Court Efficiency Rating." Thesis, Boston College, 2006. http://hdl.handle.net/2345/586.
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Thesis advisor: Richard McGowanCan statistical analysis of professional basketball players lead to a more efficient evaluation of a player's worth? Following the recent success of statistic-driven baseball franchises, many basketball executives and followers are beginning to mine the sport's production in search of an all-encompassing player value rating. Teams could thus exploit undervalued players, leading to increased team and fan welfare. My thesis addresses this ongoing debate by examining various player and team statistics in the National Basketball Association (NBA). While I find significant relationships between individual efficiency statistics and team success, I also discover the paramount importance of defensive statistics and balanced team payrolls. This paper proposes a model that would help team executives find players who promote team efficiency, rather than individual production
Thesis (BA) — Boston College, 2006
Submitted to: Boston College. College of Arts and Sciences
Discipline: Economics
Discipline: College Honors Program
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Trouillet, Julien. "Credit Rating Agencies." Thesis, Paris Sciences et Lettres (ComUE), 2017. http://www.theses.fr/2017PSLED045/document.
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Les agences de notations ont récemment été l'objet d'une grande attention. Leur responsabilité dans la crise des subprimes a été questionné. Les médias ont mis en avant les notes trop généreuses qui avaient été attribué à certains produits complexes, avant de s'interroger sur leur comportement quand elles ont dégradé les notes des dettes souveraines. Dans cette thèse, après avoir revu une partie de la littérature sur le sujet, je m'interroge sur deux aspects spécifique de leur activité:(i) Quels sont les conséquences de confier une information publique (comme une note de crédit) à une entité privée ?(ii) Les agences de notations disent avoir pour principal actif la réputation. Cette dernière peut expliquer pourquoi on observe des périodes de sur- notations et d'autres de sous-notations ?Credit rating agencies have recently been under a lot of scrutiny. Their responsibility in the last financial crisis has been questioned. They received much attention from the media. The credit rating agencies have been blamed for their too generous ratings before the crisis and also for being too severe during the European debt crisis. In this thesis, after an overlook of the recent literature, I look at two specific issues related to their activity: • What issues arise when public information is released by a private entity on financial markets? • Can reputation explains why a credit rating agency can be caught underrating (respectively overrating)
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Danzini, Eva Rosa. "Agenzie di rating." Doctoral thesis, Universita degli studi di Salerno, 2014. http://hdl.handle.net/10556/1857.
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2011-2012Le riflessioni presentate in questo tesi intendono fornire un contributo al dibattito sulle agenzie di rating e trovano origine nella crisi attuale dei rating sovrani e sulle conseguenze a livello nazionale ed internazionale. Gli eventi hanno mostrato che poche agenzie di rating, operanti in condizioni di sostanziale oligopolio sono considerate “affidabili” tra gli intermediari finanziari ed esercitano un solido potere di orientamento di mercati volatili, grazie anche ad opache procedure valutative adottate ed a malcelati conflitti di interesse. Il lavoro si apre con una breve panoramica sulla storia del rating e delle maggiori agenzie, e si sviluppa in seguito intorno a brevi considerazioni sul ruolo dei rating nel mercato dei capitali, sui meccanismi per ottenerli e sulle ricadute sui debiti sovrani. Il potenziale conflitto di interesse lascia poi spazio all’aspetto normativo facendo riferimento alla regolamentazione internazionale ed europea. Per completare il quadro di riferimento si presentano brevemente le dinamiche del mercato del credito per gli enti locali, con un esame delle potenzialità e dei rischi della finanza strutturata alla luce della recente autonomia finanziaria degli enti territoriali e dei più recenti declassamenti da parte delle agenzie di rating. La trattazione chiude passando in rassegna gli attuali interventi normativi in materia, ponendo in evidenza come tali agenzie, esercitino ad oggi una funzione integrativa della regolazione finanziaria determinando con i propri giudizi non solo l'interesse che un emittente deve corrispondere per collocare i propri titoli di debito, ma anche la disciplina stessa cui tale emittente e i suoi titoli sono sottoposti. I giudizi di rating sono stati giuridicizzati nel corso dei decenni passati, in una condizione di immutata, sostanziale irresponsabilità giuridica delle agenzie. In uno scenario del genere si rende necessaria una rigorosa regolamentazione al fine di correggere i diversi problemi che affliggono l’emissione di rating, quali in particolare il conflitto di interessi; l'attendibilità dei giudizi delle agenzie maggiori e una generale opacità informativa. In conclusione, gli obiettivi da raggiungere per gli ordinamenti in materia di rating sono: assicurare l’indipendenza e la concorrenza tra le varie agenzie, con un preciso regolamento che ne disciplini l’emissione dei rating; garantire la trasparenza informativa sui processi di valutazione degli strumenti finanziari; poter disporre di un forte potere sanzionatorio in caso di violazione delle norme poste a tutela degli investitori e risparmiatori. [a cura dell'autore]
XI n.s.
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Daniele, Alessandro <1994>. "il rating ESG." Master's Degree Thesis, Università Ca' Foscari Venezia, 2021. http://hdl.handle.net/10579/19427.
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L'elaborato approfondisce il mondo delle agenzie di rating della finanza sostenibile, studiando l'evoluzione del mercato, il mutamento dei criteri utilizzati per giudicare le imprese e fa un confronto con i rating finanziari.
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Tison, Emilee B. "Differential Prediction: Understanding a Tool for Detecting Rating Bias in Performance Ratings." Thesis, Virginia Tech, 2008. http://hdl.handle.net/10919/31549.
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Three common methods have been used to assess the existence of rating bias in performance ratings: the total association approach, the differential constructs approach and the direct effects approach. One purpose of this study was to examine how the direct effects approach, and more specifically differential prediction analysis, is more useful than the other two approaches in examining the existence of rating bias. However, the usefulness of differential prediction depends on modeling the full rater race X ratee race interaction. Therefore, the second purpose of this study was to examine the conditions where differential prediction has sufficient power to detect this interaction. This was accomplished using monte carlo simulations. Total sample size, magnitude of rating bias, validity of predictor scores, rater race proportion and ratee race proportion were manipulated to identify which conditions of these parameters provided acceptable power to detect the rater race X ratee race interaction; in the conditions where power levels are acceptable, differential prediction is a useful tool in examining the existence of rating bias. The simulation results suggest that total sample size, magnitude of rating bias and rater race proportion have the most impact on power levels. Furthermore, these three parameters interact to effect power. Implications of these results are discussed.Master of Science
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Chin-Lee, Jao-ke. "How to Win Ratings and Influence Reviewers: Preferential Attachment in Rating Systems." Thesis, Harvard University, 2015. http://nrs.harvard.edu/urn-3:HUL.InstRepos:14398548.
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In this paper we introduce the concept of preferential attachment in the context of recommendation and rating systems. We present several models incorporating different qualities that may manifest in such systems, such as inherent bias, and examine the resulting degree distributions (i.e. ratings) as snapshots and through time. We then take preliminary steps towards testing real-world feasibility with the Yelp Academic Dataset.
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Ioannou, Stefanos. "The political economy of credit rating agencies : the case of sovereign ratings." Thesis, University of Leeds, 2016. http://etheses.whiterose.ac.uk/12327/.
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This thesis investigates the social and economic importance of Credit Rating Agencies (CRAs), concentrating on the case of sovereign ratings. By viewing CRAs as an influential institution within the context of neoliberalism and financialization, the thesis offers some new insights regarding the way sovereign ratings are formed and the way they come to affect macroeconomic processes and outcomes. The experience of the European Monetary Union (Eurozone) serves as the case study. The recent and still ongoing European crisis and the flawed institutional structure of the Eurozone make this case study to be of special interest. The thesis consists of three broad parts. The first part sets the background of the thesis. As such it contains some analytical reflections on how to conceptualize CRAs. It also includes a chapter that discusses in detail the institutional arrangements of the Eurozone and the associated stylized facts. The second part consists of two econometric chapters. By employing a dataset based on the original twelve Eurozone countries and on the period from 1999 to 2012, the first chapter decomposes the determinants of sovereign ratings and seeks for evidence of systematically panicked reactions from CRAs. In turn, the second chapter utilizes a panel probit model and investigates the statistical and economic significance of sovereign ratings in explaining episodes of extreme capital flow movements. The third part establishes a two country stock flow consistent model and explores the linkages between sovereign rating movements, the financial market and the constraints for fiscal policy. By separating between a weak country and a strong country, the model shows how following a recessionary shock, the rating downgrade of the weak country can affect the liquidity preference of investors. Such influence deepens the already ongoing recession by amplifying the financial constraints the weak government faces and by forcing it to implement fiscal austerity.
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Lehocká, Magdaléna. "Význam ratingov a medzinárodných ratingových agentúr pre stabilitu na medzinárodných finančných trhoch." Master's thesis, Vysoká škola ekonomická v Praze, 2012. http://www.nusl.cz/ntk/nusl-196955.
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This thesis deals with the action and impact of the credit rating agencies in the capital markets during the financial crisis. The work is divided into two parts; the first part stresses the importance of a proper understanding of the rating, its characteristics, functions, users and the rating process. The emphasis is put on the market analysis of ratings and rating agencies in the U.S. and European market. The second part of this work is devoted to examining the issue of rating agencies during the crisis, which contributed to the spread of the financial crisis, criticism relevant issues and regulatory arrangements.
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Larik, Waseem. "Revealed preference differences among credit rating agencies." Thesis, University of Manchester, 2012. https://www.research.manchester.ac.uk/portal/en/theses/revealed-preference-differences-among-credit-rating-agencies(6adae219-dd55-468c-a040-1aaf0b48f579).html.
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The thesis studies the factors which underpin the allocation of credit ratings by the two major credit rating agencies (CRAs) namely Moody’s and S&P. CRAs make regular headlines, and their rating’s judgements are closely followed and debated by the financial community. Indeed, criticism of these agencies emerged, both in this community and the popular press, following the 2007-2008 financial crisis. This thesis examines several aspects of the allocation of credit ratings by the major agencies, particularly in relation to (i) their revealed “loss function” preference structure, (ii) the determinants underpinning the allocation of credit ratings and (iii) the reasons determining the circumstances when the two agencies appear to differ in their opinions, and we witness a split credit rating allocation. The first essay empirically estimates the loss function preferences of two agencies by analyzing instances of split credit ratings assigned to corporate issuers. Our dataset utilises a time series of nineteen years (1991-2009) of historical credit ratings data from corporate issuers. The methodology consists of estimating rating judgment differences by deducting the rating implied probability of default from the estimated market implied probability of default. Then, utilising judgment differences, we adapt the GMM estimation following Elliott et al. (2005), to extract the loss function preferences of the two agencies. The estimated preferences show a higher degree of asymmetry in the case of Moody’s, and we find strong evidence of conservatism (relative to the market) in industry sectors other than financials and utilities. S&P exhibits loss function asymmetry in both the utility and financial sectors, whereas in other sectors we find strong evidence of symmetric preferences relative to those of the market. The second essay compares the impact of financial, governance and other variables (in an attempt to capture various subjective elements) in determining issuer credit ratings between the two major CRAs. Utilising a sample of 5192 firm-year observations from S&P400, S&P500 and S&P600 index constituent issuer firms, we employ an ordered probit model on a panel dataset spanning 1995 through 2009. The empirical results suggest that the agencies indeed differ on the level of importance they attach to each variable. We conclude that financial information remains the most significant factor in the attribution of credit ratings for both the agencies. We find no significant improvement in the predictive power of credit rating when we incorporate governance related variables. Our other factors show strong evidence of continuing stringent standards, reputational concerns, and differences in standards during economic crises by the two rating agencies. The third essay investigates the factors determining the allocation of different (split) credit ratings to the same firm by the two agencies. We use financial, governance and other factors in an attempt to capture various subjective elements to explain split credit ratings. The study uses a two-stage bivariate probit estimation method. We use a sample of 5238 firm-year observations from S&P 500, S&P 400, and S&P 600 index constituent firms. Our results indicate that a firm having greater size, favourable coverage and higher profitability are less likely to have a split. However, smaller firms with unfavourable coverage and lower profitability appear to be rated lower by Moody’s in comparison to S&P. Our findings suggest that the stage of the business cycle plays no significant role in deciding splits, but rating shopping and the introduction of regulation FD increase the likelihood of splits arising.
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Dang, Huong Dieu. "Rating History, Time and The Dynamic Estimation of Rating Migration Hazard." Thesis, The University of Sydney, 2010. http://hdl.handle.net/2123/6397.
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This thesis employs survival analysis framework (Allison, 1984) and the Cox’s hazard model (Cox, 1972) to estimate the probability that a credit rating survives in its current grade at a certain forecast horizon. The Cox’s hazard model resolves some significant drawbacks of the conventional estimation approaches. It allows a rigorous testing of non-Markovian behaviours and time heterogeneity in rating dynamics. It accounts for the changes in risk factors over time, and features the time structure of probability survival estimates. The thesis estimates three stratified Cox’s hazard models, including a proportional hazard model, and two dynamic hazard models which account for the changes in macro-economic conditions, and the passage of survival time over rating durations. The estimation of these stratified Cox’s hazard models for downgrades and upgrades offers improved understanding of the impact of rating history in a static and a dynamic estimation framework. The thesis overcomes the computational challenges involved in forming dynamic probability estimates when the standard proportionality assumption of Cox’s model does not hold and when the data sample includes multiple strata. It is found that the probability of rating migrations is a function of rating history and that rating history is more important than the current rating in determining the probability of a rating change. Switching from a static estimation framework to a dynamic estimation framework does not alter the effect of rating history on the rating migration hazard. It is also found that rating history and the current rating interact with time. As the rating duration extends, the main effects of rating history and current rating variables decay. Accounting for this decay has a substantial impact on the risk of rating transitions. Downgrades are more affected by rating history and time interactions than upgrades. To evaluate the predictive performance of rating history, the Brier score (Brier, 1950) and its covariance decomposition (Yates, 1982) were employed. Tests of forecast accuracy suggest that rating history has some predictive power for future rating changes. The findings suggest that an accurate forecast framework is more likely to be constructed if non-Markovian behaviours and time heterogeneity are incorporated into credit risk models.
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Dang, Huong Dieu. "Rating History, Time and The Dynamic Estimation of Rating Migration Hazard." University of Sydney, 2010. http://hdl.handle.net/2123/6397.
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Doctor of Philosophy(PhD)This thesis employs survival analysis framework (Allison, 1984) and the Cox’s hazard model (Cox, 1972) to estimate the probability that a credit rating survives in its current grade at a certain forecast horizon. The Cox’s hazard model resolves some significant drawbacks of the conventional estimation approaches. It allows a rigorous testing of non-Markovian behaviours and time heterogeneity in rating dynamics. It accounts for the changes in risk factors over time, and features the time structure of probability survival estimates. The thesis estimates three stratified Cox’s hazard models, including a proportional hazard model, and two dynamic hazard models which account for the changes in macro-economic conditions, and the passage of survival time over rating durations. The estimation of these stratified Cox’s hazard models for downgrades and upgrades offers improved understanding of the impact of rating history in a static and a dynamic estimation framework. The thesis overcomes the computational challenges involved in forming dynamic probability estimates when the standard proportionality assumption of Cox’s model does not hold and when the data sample includes multiple strata. It is found that the probability of rating migrations is a function of rating history and that rating history is more important than the current rating in determining the probability of a rating change. Switching from a static estimation framework to a dynamic estimation framework does not alter the effect of rating history on the rating migration hazard. It is also found that rating history and the current rating interact with time. As the rating duration extends, the main effects of rating history and current rating variables decay. Accounting for this decay has a substantial impact on the risk of rating transitions. Downgrades are more affected by rating history and time interactions than upgrades. To evaluate the predictive performance of rating history, the Brier score (Brier, 1950) and its covariance decomposition (Yates, 1982) were employed. Tests of forecast accuracy suggest that rating history has some predictive power for future rating changes. The findings suggest that an accurate forecast framework is more likely to be constructed if non-Markovian behaviours and time heterogeneity are incorporated into credit risk models.
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Albuquerque, André Massena de. "Sovereign credit rating mismatches." Master's thesis, Instituto Superior de Economia e Gestão, 2016. http://hdl.handle.net/10400.5/12629.
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Mestrado em Economia Monetária e FinanceiraEste trabalho analisa que fatores, entre os determinantes de ratings soberanos encontrados na literatura, são responsáveis pelas diferenças entre os ratings de crédito soberanos de diferentes agências de rating, no período 1980-2015. Para tal, utilizaram-se modelos probit ordenados e simples de efeitos aleatórios com o objetivo de avaliar o poder explicativo de um conjunto de variáveis macroeconómicas e governamentais. Os resultados obtidos com os modelos estimados indicam que o saldo estrutural e a existência de um default nos últimos dez anos são as variáveis menos significativas enquanto o nível de dívida líquida, o saldo orçamental, o PIB per capita e a existência de um default nos últimos cinco anos são as variáveis que mais explicam as diferenças entre ratings de agências distintas.
In this work we study the factors, among the determinants of sovereign ratings found in the literature, leading to differences in sovereign credit ratings from different agencies, for the period 1980-2015. We employ random effects ordered and simple probit approaches to assess the explanatory power of different macroeconomic and government variables. Our results point to an average performance of the estimated models. Structural balance and the existence of a default in the last ten years were the least significant variables whereas the level of net debt, budget balance, GDP per capita and the existence of a default in the last five years were found to be the most relevant variables explaining the rating differences across agencies.
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Gorman, C. Allen, and Lorianne D. Mitchell. "Beyond Rating Accuracy: Frame-of-reference Training Reduces Gender Bias in Performance Ratings." Digital Commons @ East Tennessee State University, 2017. https://dc.etsu.edu/etsu-works/410.
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In light of all the criticisms of performance appraisal/management, this symposium presents 4 new studies that begin to reveal when performance ratings are most valuable and where research on the effectiveness of performance management needs to go in order to best inform practice.
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Jonsson, Natalie, and Elin Billestedt. "Kreditbedömning av företag : Vilken betydelse har årsredovisningar i jämförelse med andra faktorer vid en kreditbedömning av ett företag?" Thesis, Högskolan Väst, Institutionen för ekonomi och it, 2013. http://urn.kb.se/resolve?urn=urn:nbn:se:hv:diva-5462.
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När en bank gör en kreditbedömning av ett företag så krävs det en stor del av riskmedvetenhet från bankens sida när det gäller att använda och undersöka företagens årsredovisningar, men även andra faktorer. Anledningen till att banker idag fokuserar på ett brett spektrum av faktorer har med 1990-talets generösa utlåningsstruktur att göra, och att banken efter negativa känningar av krisen ökat riskmedvetenheten. Syftet med denna uppsats är att undersöka om det är ett företags årsredovisning eller alternativt andra faktorer som kreditchefer på ett flertal fristående Sparbanker undersöker vid en kreditbedömning, samt vilken av dessa två delar som väger tyngst vid bedömningen. Uppsatsen har utförts på fristående Sparbanker från i huvudsak två landskap, det vill säga Bohuslän och Dalsland, samt en tredjedel av Västergötland. Vi har med en kvalitativ metod i form av intervjuer sammanlagt intervjuat sju kreditchefer från olika fristående Sparbanker. Den frågeställning som vi ville ha svar på från våra intervjupersoner var: Vilken betydelse har årsredovisningar i jämförelse med andra faktorer vid en kreditbedömning av ett företag? Med utgångspunkt från denna forskningsfråga formade vi våra intervjufrågor. Det huvudsakliga resultatet och den slutsats som vi kunde dra efter att vi undersökt området både teoretiskt och empiriskt var, att banker använder sig ungefär till lika stora delar av årsredovisningar kontra övriga faktorer. Övriga faktorer är exempelvis företagets styrelse, dess ledning, revisorsutlåtande och säkerheter. Båda dessa delar behövs enligt banken för att möjliggöra en så rättvis, säker och riskfri kreditbedömning som möjligt av ett företag. Detta betyder i sin tur att det system som banker förr i tiden använde, dvs. att till allra störst del undersöka de hårda värdena vilka är siffrorna i ett företags årsredovisning, inte är tillämpbar i vår nutid. En riskbedömning ska istället ske med fokus på även övriga faktorer, detta är ett måste. Den avgränsning som vi gjort är att inte undersöka lagstiftningen bakom en kreditbedömning, utan den benämns i princip endast. Vi har inte heller lagt fokus på att undersöka exakt vilka siffror kreditchefer på banker ser på vid en kreditbedömning i ett företags årsredovisningar, utan endast på om de undersöker vissa faktorer i årsredovisningarna.When a bank makes a credit assessment of a company, it takes a great deal of awareness of risks from the bank when it comes to use and examine the company's financial statements, but also other factors. The reason that banks today are focusing on a wide range of factors, has to do with 1990's generous lending structure, and that after the negative stresses of the crisis banks increased the risk awareness. The purpose of this paper is to examine whether it is a company's financial statements or, alternatively, other factors that credit managers at several savings banks examines at a credit assessment and which of these two components that weigh heavily in the assessment. The thesis has been done in independent savings banks from two main landscapes, that is, Bohuslän and Dalsland, and a third of Västergötland. We have a qualitative approach in the form of interviews with total interviews with about seven credit managers from various independent savings banks. The question we wanted an answer to from our interviewees was: How important are financial statements in comparison with other factors in a credit assessment of a company? Based on this research question we formed our interview questions. The main result and the conclusion we could draw after we explored the area both theoretically and empirically was that banks use equal shares of annual versus other factors. Other factors being, e.g., the company's Board of Directors, its management, auditor's report and collateral. Both of these elements are needed by the bank to allow such a fair, safe and secure credit assessment as possible of a company. This in turn means that the system that banks in the old days used, which to the greatest extent examined the hard values, the numbers in a company's annual report, is not applicable in the present. A risk assessment should instead be focused on other factors as well. This is absolutely necessary. The distinction we made is not to examine the legislation behind a credit, it is only referred to in principle. We have not put the focus on investigating the exact numbers credit managers at banks look on at a credit assessment of a company's financial statements, but only if they examine some factors in the financial statements.
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Alexander, Jeremy. "Is Conscientiousness Related to Performance Rating Accuracy and Perceived Difficulty in Rating?" TopSCHOLAR®, 2008. http://digitalcommons.wku.edu/theses/363.
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Inaccurate ratings of job performance can have severe consequences for many organizations and the individuals in them. The present study examined conscientiousness and its relationship to performance rating accuracy and perceived difficulty in providing a rating. Rating accuracy was assessed by calculating deviations from true scores, while personality and perceptions of difficulty were acquired via self-report. Additionally, the relationship between perceptions of rating difficulty and the amount of information available for rating instrument items was investigated. The first two hypotheses were not supported, but as hypothesized, the relationship between rating difficulty and information available was negative and significant. Implications for future performance appraisal research are discussed.
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Parrill, Scott. "Revisiting Rating Format Research: Computer-Based Rating Formats and Components of Accuracy." Thesis, Virginia Tech, 1999. http://hdl.handle.net/10919/33502.
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Prior to 1980, most research on performance appraisal focused on rating formats. Since then, most performance appraisal research has focused on the internal processes of raters. This study redirects the focus back onto rating format with a critical eye towards rating accuracy. Ninety subjects read several hypothetical descriptions of teacher behavior and then rated the teachers on different dimensions of teaching performance using computer-based rating formats. It was found that rating format does affect some measures of rating accuracy. In addition, support was found for the viability of a new rating format. Graphic rating scales with no anchors received higher accuracy scores on certain measures of accuracy, higher ratings for liking of the rating format, higher levels of comfort with the rating format, and higher levels of interrater reliability than either BARS or graphic rating scales with numerical anchors. This study supports the ideas that rating format research should be reexamined with a focus on rating accuracy and that computer-based graphic scales with no anchors should be considered as an alternative to more traditional rating methods.Master of Science
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SALVADE', FEDERICA. "Il valore dell'informazione contenuta nel credit rating: evidenze dall'evento di rating withdrawal." Doctoral thesis, Università Cattolica del Sacro Cuore, 2014. http://hdl.handle.net/10280/2813.
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Le agenzie di rating nascono come intermediari di informazione tra coloro che emettono titoli e gli investitori.
La crisi finanziaria ha generato intense critiche verso l’industria del rating. La conseguenza è un potenziale ridimensionamento dell’utilizzo del rating che avviene per esempio con emittenti che non acquistano più la certificazione.
Nel presente elaborato mi focalizzo sul ruolo delle agenzie di rating studiando la loro influenza sul costo del capitale e sul finanziamento delle imprese.
Il primo capitolo riassume le precedenti evidenze empiriche sul contenuto informativo del rating. Il secondo e il terzo capitolo dell’elaborato offrono un nuovo contributo alla letteratura utilizzando due tipologie di cancellazione di rating avvenute tra il 2001 e il 2011. La prima tipologia avviene nel caso in cui l’azienda cessa di essere monitorata e certificata dall’agenzia. La seconda tipologia avviene per un cambio di policy di Moody’s che modifica il rating in circolazione senza alcun cambiamento nei fondamentali dell’emittente.
L’elaborato mostra che il rating influenza il costo del capitale e il finanziamento delle imprese.Rating agencies exist to assess the creditworthiness of issuers and reduce the adverse effect of information asymmetry. However, the effectiveness of such financial intermediaries in mitigating information asymmetry has been doubted in particular after the financial crisis. In this thesis, I examine two types of Moody’s' credit rating withdrawals to assess whether rating contains relevant information for investors. The first type of withdrawals occurs when the firm stops being rated. The second type of withdrawals occurs because Moody's implemented a policy to refine the outstanding rating information without any change in the firms’ fundamentals . I show that the rating withdrawals influence the firms’ credit market access, financing decisions and cost of capital. I conclude that rating information has a value for market participants.
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SALVADE', FEDERICA. "Il valore dell'informazione contenuta nel credit rating: evidenze dall'evento di rating withdrawal." Doctoral thesis, Università Cattolica del Sacro Cuore, 2014. http://hdl.handle.net/10280/2813.
Full textAbstract:
Le agenzie di rating nascono come intermediari di informazione tra coloro che emettono titoli e gli investitori.
La crisi finanziaria ha generato intense critiche verso l’industria del rating. La conseguenza è un potenziale ridimensionamento dell’utilizzo del rating che avviene per esempio con emittenti che non acquistano più la certificazione.
Nel presente elaborato mi focalizzo sul ruolo delle agenzie di rating studiando la loro influenza sul costo del capitale e sul finanziamento delle imprese.
Il primo capitolo riassume le precedenti evidenze empiriche sul contenuto informativo del rating. Il secondo e il terzo capitolo dell’elaborato offrono un nuovo contributo alla letteratura utilizzando due tipologie di cancellazione di rating avvenute tra il 2001 e il 2011. La prima tipologia avviene nel caso in cui l’azienda cessa di essere monitorata e certificata dall’agenzia. La seconda tipologia avviene per un cambio di policy di Moody’s che modifica il rating in circolazione senza alcun cambiamento nei fondamentali dell’emittente.
L’elaborato mostra che il rating influenza il costo del capitale e il finanziamento delle imprese.Rating agencies exist to assess the creditworthiness of issuers and reduce the adverse effect of information asymmetry. However, the effectiveness of such financial intermediaries in mitigating information asymmetry has been doubted in particular after the financial crisis. In this thesis, I examine two types of Moody’s' credit rating withdrawals to assess whether rating contains relevant information for investors. The first type of withdrawals occurs when the firm stops being rated. The second type of withdrawals occurs because Moody's implemented a policy to refine the outstanding rating information without any change in the firms’ fundamentals . I show that the rating withdrawals influence the firms’ credit market access, financing decisions and cost of capital. I conclude that rating information has a value for market participants.
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Blum, Ulrich, and Werner Gleißner. "Unternehmensbewertung, Rating und Risikobewältigung." Saechsische Landesbibliothek- Staats- und Universitaetsbibliothek Dresden, 2007. http://nbn-resolving.de/urn:nbn:de:swb:14-1173181812423-50326.
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We inquire into the possibilities to improve the stability of the firms by better managing risk. We propose to directly link risk management to rating, i.e. the ability to meet future financial obligations. Principal elements of rating methodology are discussed against the background of risk management. Next to the rating mark the riskrelated requirements for equity become the central measure for risk. Firms must balance the costs of improving their rating against the gains of an improved rating. Risk management is a major driver to improve shareholder value. Risk aggregation is the dominant method that uses information from risk management and synthesizes unique measure of valueWir untersuchen, wie Unternehmer durch den besseren Umgang mit Risiken die Stabilität ihres Unternehmens verbessern können. Dies gelingt durch eine direkte Verzahnung der Risikobewältigung mit dem Rating, also der Bewertung der Fähigkeit, künftige Zahlungsverpflichtungen zu erfüllen. Dabei werden zentrale Elemente des Ratings vor dem Hintergrund des Risikomanagements vorgetragen. Neben der Ratingnote wird damit der risikobedingte Eigenkapitalbedarf zum zentralen Risikomaß. Unternehmer müssen vor diesem Hintergrund abwägen zwischen der kostentreibenden Verbesserung des Ratings und den dafür winkenden Erträgen. Die Risikobewältigung stellt eine Möglichkeit der Unternehmenswertsteigerung durch Risikomanagement dar. Die Risikoaggregation ist dabei das Mittel, das Informationen des Risikomanagements nutzt und zu einem zentralen, aussagefähigen Wertmaßstab verdichtet
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Těšínská, Anna. "CASUALTY REINSURANCE EXPOSURE RATING." Master's thesis, Vysoká škola ekonomická v Praze, 2014. http://www.nusl.cz/ntk/nusl-194729.
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The main aim of this thesis is a development of ILF curves that can be used in the insurance industry when pricing general third party liability on the Czech market. Based on available data there are first estimated size of loss distribution functions used for following generating process. From generated data the increased limit factors are estimated and with a usage of Riebesell's parameterization ILF curves are derived. A substantial part of the thesis is a compilation of literature and the expansion of the statistical approach for estimating fair ILFs based on these data. Besides, the basis for the curves derivation are chapters describing basic theoretical knowledge in the field of reinsurance - in particular, the description of the basic types of reinsurance contracts, as well as the most common methods of a pricing. There is the whole mechanism of curves derivation described; their own use is then demonstrated with the example based on pseudoreal data.
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Лимар, І. А. "Застосування рейтингового оцінювання для вищих навчальних закладів: національний та зарубіжний підходи." Thesis, НДІЕР, 2015. https://er.knutd.edu.ua/handle/123456789/3210.
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The concept of rating and major goals, which is rating. Lit differences between international rankings of UNIVERSITIES and existing in our country the system of education quality assessment Considered the most well-known ratings of Ukraine and the world and defined what criteria they use.
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Paineli, Grazielli Angelucci. "EU sovereign ratings lags prior and after the great recession." Master's thesis, Instituto Superior de Economia e Gestão, 2019. http://hdl.handle.net/10400.5/18858.
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Mestrado em Economia Monetária e FinanceiraEstudamos as variáveis que mais afetam a alteração dos ratings soberanos na UE para as agências de classificação de crédito Fitch e S&P. Utilizando um modelo de painel probit, avaliamos o impacto de diferentes variáveis econômicas e políticas nas mudanças gerais dos ratings soberanos, aumentamos e diminuímos antes e depois da Grande Recessão. Mais importante, também analisamos o tempo de espera para cada agência de classificação nesses dois períodos, cobrindo especificamente 1997: 12-2018: 12. Nossos resultados mostram que as variáveis econômicas e políticas são consideradas diferentemente nos dois períodos e que o atraso na liderança das mudanças de rating diminui após a crise, especialmente quando essa mudança é uma diminuição no rating. Ainda, trazemos alguns conceitos comportamentais para o raciocínio dessa mudança nas variáveis e comportamento nos lags.
We study the variables that most affect the sovereign ratings change in the EU for Credit Rating Agencies Fitch and S&P. Using a panel probit model we assess the impact of different economic and political variables on sovereign ratings general change, increase and decrease before and after the Great Recession. Most importantly, we also analyse the lead lag time for each rating agency in these two periods, covering specifically 1997:12-2018:12. Our results show that economic and political variables are considered differently in both periods and that the lead lag for rating changes decreases after the crisis, especially when this change is a decrease in the rating. We then enrich the discussion by bringing some behavioural concepts into the reasoning of that change in the variables and lead lag behaviour.
info:eu-repo/semantics/publishedVersion
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Colla, Denis <1986>. "Agenzie di rating: considerazioni sull'industria del credit rating e valutazioni sulla sua bontà." Master's Degree Thesis, Università Ca' Foscari Venezia, 2013. http://hdl.handle.net/10579/2305.
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Le Credit Rating Agencies (CRA) - originariamente erano concepite come delle società private col compito di fornire opinioni sul merito di credito (credit ratings) dei soggetti che richiedevano dei finanziamenti. Oggigiorno invece i credit rating - oltre ad espletare questa importante funzione - sono utilizzati come benchmark in molti contratti finanziari, processi di investimento, e soprattutto sono diventati il perno della regolamentazione in svariati ambiti. Per tale ragione, è essenziale che le agenzie di rating operino in condizioni di imparzialità perseguendo elevati standard di professionalità e diligenza. Le recenti crisi finanziarie, tuttavia, hanno evidenziato alcune problematicità all’interno del settore del rating, portando alcuni giornalisti, politici ed economisti perfino ad additarle tra i principali responsabili di alcuni recenti fallimenti aziendali (come Enron, Wordcom, Parmalat, Lehman Brother’s). Nello specifico, le principali questioni sono relative a quattro categorie:•Conflitti di interesse•Insoddisfacente qualità delle metodologie analizzate e dei rating sviluppati•Mancanza di trasparenza•Poca concorrenza nel mercato del credit ratingE’ da queste considerazioni che nasce questo lavoro, avente l’esplicito obiettivo di sviluppare un’analisi dettagliata delle CRA, mostrando il funzionamento del mercato del rating e i suoi principali attori globali. Cercheremo di valutare le caratteristiche peculiari del mercato del rating, il suo sviluppo storico e la sua natura oligopolistica. Valuteremo le pratiche seguite dalle principali agenzie al fine di pervenire alla determinazione del credit rating e considereremo le critiche emerse e le principali proposte sul tappeto per una riforma di questo mercato. Alla luce delle problematiche esposte rimane da chiedersi quale sia l’effettivo contenuto informativo del credit rating ai fini della valutazione del merito di credito di un’emittente o di una specifica emissione, e cioè se per gli investitori tale giudizio costituisce un importante complemento informativo rispetto alle valutazioni compiute autonomamente sulla base delle informazioni disponibili. Tuttavia gli studi effettuati in letteratura non sono arrivati a una soluzione univoca: alcuni giungono alla conclusione che i rating, e soprattutto i declassamenti, influiscono significativamente su alcune variabili di mercato, come i prezzi; altri non rilevano invece alcun impatto, ed evidenziano addirittura in alcuni casi una sostanziale incapacità da parte dei rating di prevedere eclatanti fenomeni di default, arrivando molte volte al paradosso che il mercato stesso anticipa i giudizi delle CRA.
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Gottardi, Elisa <1995>. "L'influenza della Corporate Social Responsibility su credit rating e rating etico delle imprese." Master's Degree Thesis, Università Ca' Foscari Venezia, 2021. http://hdl.handle.net/10579/18864.
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In un primo momento il lavoro prevede lo studio della nascita e dell'evoluzione del concetto di Corporate Social Responsibility, cominciando dall’idea di sostenibilità, passando attraverso la Stakeholder Theory, per giungere ai più recenti approcci alla responsabilità sociale d’impresa.
In un secondo momento si prevede una discussione relativa alla definizione del concetto di rating tradizionale e di rating etico, o rating ESG. Gli elementi che vengono approfonditi sono relativi alla loro evoluzione, agli enti incaricati ad attribuire tale giudizio, ossia le agenzie di rating, al processo di assegnazione del relativo rating e agli aspetti normativi esistenti in ambito internazionale.
Al termine della discussione di tali elementi, l’elaborato si concentra su una parte più empirica caratterizzata dalla volontà di comprendere se esista una correlazione tra la Corporate Social Responsibility, il rating tradizionale e il rating etico. Si procede in questo caso alla definizione e al calcolo di una variabile che costituisce un indicatore rappresentativo dell’esistenza e dell’importanza della CSR per un certo campione di aziende. Una volta ottenuta, si arriva a utilizzare la funzione di regressione lineare al fine di verificare se esista e, nel caso esista, quale sia la tipologia di relazione evidenziabile tra la variabile sopra menzionata e il credit rating; in seguito si effettua una simile verifica anche nei confronti del rating ESG e si conclude con la discussione dei risultati ottenuti.
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Collins, Jennifer. "Validity of Teacher Ratings on the Behavior Rating Inventory of Executive Function-Preschool Version." Diss., Temple University Libraries, 2011. http://cdm16002.contentdm.oclc.org/cdm/ref/collection/p245801coll10/id/147478.
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School PsychologyPh.D.
This study tested the construct validity of a preschool measure of executive function (Behavior Rating Inventory of Executive Function; BRIEF-P) through support of convergent and discriminant validity using the multitrait-multimethod validation process. Convergent validity was examined through teacher ratings of executive function and Attention-Deficit/Hyperactivity Disorder (ADHD) and through the measurement of executive function on a performance measure. Determination of discriminant validity was attempted through teacher ratings of executive function and anxious/shy behaviors and through performance measures of visuospatial processing. Participants were placed in one of two groups: a control group/no diagnosis (n = 21) or an ADHD Group (n = 14). Group comparisons were conducted using t-tests and chi-square analysis and determined group differences related to gender, ethnic background, IQ, and age. An Analysis of covariance, controlling for gender, indicated significantly higher teacher ratings of preschool-age children with ADHD than without ADHD on the BRIEF-P. Pearson correlations suggest a strong relationship between similar constructs utilizing same method procedures and a moderate relationship measuring the same construct between measures. Discriminant validity was unable to be established due to non significant relationships between the same trait/between methods and different trait/between methods correlations. However, the small number of participants (n = 35) and poor teacher return rate of questionnaires (control n = 7; ADHD n = 14) may have affected the results of this study. There were several other limitations of this study, including the design of the study and the extended length of time to complete the study.
Temple University--Theses
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Horsch, Andreas. "Rating und Regulierung ökonomische Analyse der Prozesse, Strukturen und Regeln der Märkte für Ratings." Baden-Baden Nomos, 2007. http://d-nb.info/989998193/04.
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Gabriel, Amadeus. "The economics of credit rating agencies : how credit rating agencies became financial market authorities." Angers, 2013. http://www.theses.fr/2013ANGE0039.
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Cette thèse porte sur la montée en puissance des agences de notation dans les marchés financiers ainsi que sur leur rôle dans la crise financière actuelle. L'enjeu est d'étudier les conditions d'une telle situation établies par les gouvernements, que constituent non seulement les licences réglementaires accordées aux agences de notations, mais aussi l'augmentation significative du volume des titres de dettes nécessitant une notation. Ainsi, les agences de notation sont devenues des autorités du marché financier. Des instances régulatrices au niveau local et mondial ont créé des incitations à l'achat de la dette ouveraine, soit de manière directe soit par le biais des notations. La règlementation financière a incité les banques à détenir un volume considérable de dette ayant obtenu une notation élevée, c'est-à-dire la dette souveraine, et ce jusqu'à la naissance de la finance structurée. Ces conditions ont permis au secteur bancaire de s'agrandir de manière significative en réduisant ses capitaux propres, et aux Etats souverains de se refinancer à des taux favorables malgré l'endettement considérable. Toutefois, le déterminant principal reste la politique monétaire. L'existence des banques à réserves fractionnaires ainsi que l'utilisation du papier-monnaie à l'échelle mondiale depuis les années 1970 ont renforcé l'aléa moral et la prise de risque excessive au sein des marchés financiers. En prenant en compte ces facteurs, cette thèse identifie le rôle des agences de notation dans la crise financière actuelle et présente des implications pratiques pour l'industrie de la notation basées sur les résultats de cet ouvrageThis thesis explores the question of how credit rating agencies became financial market authorities and studies subsequently their contribution to the current financial crisis. The prerequisites for the growth of the credit rating industry have been set by government officials. Governments and similar institutions not only attributed ''regulatory'' licenses to credit rating agencies, thereby creating an income guarantee, but they are also the most important driver of the explosion in securities which require a rating. Credit rating agencies became financial market authorities because governments and policy-makers were in favor of it. International and domestic regulatory authorities created incentives to purchase sovereign debt, either directly or indirectly via the use of credit ratings. Financial regulations incentivized banks to hold large amounts of highly rated debts, i. E. Government obligations until the occurrence of structured finance. These conditions significantly reduced the cost of debt for the banking sector through lower equity and provided more favorable refinancing costs for governments despite their high debt levels. However, the main reason for the financial fragility is monetary policy. Fractional-reserve banking and fiat money at a global scale since the 1970s increased moral hazard and excessive risk-taking in financial markets. Taking these factors into account, this thesis studies the role of credit rating agencies in the current financial crisis and sketches practical implications for the rating industry based on the findings of the work at hand
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Cock, Craig. "Influence of strike action on South Africa s credit rating by global rating agencies." Diss., University of Pretoria, 2015. http://hdl.handle.net/2263/52371.
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The growing importance of Credit agency rating in the economic indicators for a country
necessitates investigating the impact of various indicators on credit agency ratings. South
Africa is a country which has experienced an increase in prolonged, violent and unprotected
strike action. This study aimed to determine the impact of this labour relations action on the
country s credit ratings over the last 15 years and the consequent related economic factors.
Credit rating agencies do not specifically identify strike actions as a key indicator nor do they
indicate which indicators dictate the outcome of the ratings granted. Twelve indicators were
measured using a quantitative approve of hypothesis and statistical modeling. The study
used the interrelated database of The Department of Labour, The PRS Group, Stats SA and
studies by Hammer, Kogan, & Lejeune as well as the published indicators of Standard &
Poor s, Moodys and Fitch. This study further used the scatter plots and t - tests to determine
the relationship between the indicators and strike action. These were correlated using
Pearson s correlation theory in order to substantiate the findings of the scatter plot and t
test. Strike action was found to have an effect on the ratings granted. Eight of the twelve
indicators correlated negatively with ratings of Standard & Poors indicating that if strike
action increased ratings would downgrade. Strike action plays a fundament role in the
outcome of ratings granted. This is due to the effect strike action has on the driving
indicators. Wages lost during strike action has a 99% correlation with the fluctuation of
ratings granted. Ratings determining interest rates and the amount of foreign direct
investment into South Africa. With the results as indicated, South Africa s government needs
to re-evaluate the significance of strike action as a legal for of resolution and the parameters
dictating it. Alternative means need to be explored that supports the growth of South Africa
for it to transition from a developing country into an advanced economy.Mini Dissertation (MBA)--University of Pretoria, 2015.
sn2016
Gordon Institute of Business Science (GIBS)
MBA
Unrestricted
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Salata, Gloria <1995>. "SRI investment and ESG rating: analysis of the flaws of the ESG rating agencies." Master's Degree Thesis, Università Ca' Foscari Venezia, 2021. http://hdl.handle.net/10579/19254.
Full textAbstract:
In recent decades Socially Responsible Investments (SRI) are becoming an increasingly important and developed reality. Despite the increased importance, the rapid growth that has seen them protagonists has not allowed to develop adequate standards for monitoring performance in the three Environmental, Social and Governance factors (ESG). This lack of standardisation and transparency in the ESG rating agencies’ assessment processes leads to a not clear assessment of the performance of this kind of investment; as a consequence, there is often a climate of distrust about the SRI. The aim of this study is to identify the flaws in the ESG rating processes and to understand their consequences in order to underline the pressing need to move the first steps towards standardization.
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Alzubaidi, Hossein. "On rating of gravel roads." Doctoral thesis, KTH, Infrastructure and Planning, 2001. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-3252.
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Hekkanen, Mikko. "Inclusion Rating of Clean Steels." Thesis, Örebro University, Department of Technology, 2009. http://urn.kb.se/resolve?urn=urn:nbn:se:oru:diva-7786.
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The main part of this work has been a literature survey, reviewing scientifical reports forinformation on how steel cleanness is evaluated today, and also how the steel cleanness is related tothe fatigue performance of clean steels.
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Sezgin, Ozge. "Statistical Methods In Credit Rating." Master's thesis, METU, 2006. http://etd.lib.metu.edu.tr/upload/12607625/index.pdf.
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Credit risk is one of the major risks banks and financial institutions are faced with. With the New Basel Capital Accord, banks and financial institutions have the opportunity
to improve their risk management process by using Internal Rating Based (IRB) approach. In this thesis, we focused on the internal credit rating process. First, a short overview of credit scoring techniques and validation techniques was given. By using real data set obtained from a Turkish bank about manufacturing firms, default prediction logistic regression, probit regression, discriminant analysis and classification and regression trees models were built. To improve the performances of the models the optimum sample for logistic regression was selected from the data set
and taken as the model construction sample. In addition, also an information on how to convert continuous variables to ordered scaled variables to avoid difference in scale problem was given. After the models were built the performances of models for whole data set including both in sample and out of sample were evaluated with validation techniques suggested by Basel Committee. In most cases classification and regression trees model dominates the other techniques. After credit scoring models were constructed and evaluated, cut-off values used to map probability of default obtained
from logistic regression to rating classes were determined with dual objective optimization. The cut-off values that gave the maximum area under ROC curve and minimum mean square error of regression tree was taken as the optimum threshold
after 1000 simulation.
Keywords: Credit Rating, Classification and Regression Trees, ROC curve, Pietra Index
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Hensens, Wouter. "Hotel rating through guest feedback." Thesis, Nelson Mandela Metropolitan University, 2010. http://hdl.handle.net/10948/1631.
Full textAbstract:
Hotel rating refers to the process where the comfort and services of a hotel are assessed and classified, usually in five categories, using stars as symbols. Conventional hotel rating systems are generally operated by governments or independent parties. However, with the growth of social media and customer-review sites, guest review platforms became an important source of information. The main aim of this study is to establish whether guest feedback can determine hotel ratings more accurately than conventional methods and whether a social media platform such as TripAdvisor can provide the necessary data to do so. The customer-review website, TripAdvisor, has grown rapidly and made a strong impact on the tourism and hotel industry. This study identifies the nature of TripAdvisor, its reliability, how its ratings compare with conventional ratings, and what criteria are used in guest reviews on TripAdvisor when assessing the quality of a hotel. These findings were triangulated with findings from the conventional rating systems of the 11 destinations that were sampled for this study to identify the value of TripAdvisor. Two samples were taken from TripAdvisor of 110 and 33 hotels, respectively. From the latter, ten guest reviews were gathered and analysed per hotel, resulting in a total of 330 reviews that were analysed. The study’s findings indicate that TripAdvisor is the largest guest feedback platform for hotels and its data can be considered to be reliable. The TripAdvisor ratings were not connected to the conventional ratings of the sampled hotels. The criteria used in TripAdvisor reviews focused more on service delivery than on the objective tangible elements used in most hotel rating systems. The rich context found in most guest reviews makes the information presented on TripAdvisor valuable. There is no evidence that conventionalrating system controls are linked to the comments found in TripAdvisor reviews. The results facilitated the identification of the delight and frustration factors in services marketing for the hotel industry. A new theory to include guest feedback in hotel ratings is developed and proposed. The study further presents two future scenarios, the most likely one of which predicts the demise of conventional rating systems as a result of the success of guest feedback platforms such as TripAdvisor.
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Salvade, Federica. "Essays on credit rating agencies." Thesis, Paris 1, 2015. http://www.theses.fr/2015PA010068.
Full textAbstract:
L'objectif principal de ma thèse est d'évaluer la réaction du marché à la publication de différentes annonces de notation de crédit. Précisément, la thèse étudie l'impact des annonces sur la volatilité des prix et sur plusieurs indicateurs d'activité et de liquidité sur le marché obligataire et de CDS. Un chapitre examine également si et comment le prix des actions réagit aux retraits de notation de créditThe main aim of my thesis is to evaluate the market reaction to credit rating announcements. Precisely, the thesis studies the impact of the release of such announcements on the price volatility, liquidity and several trading activity measures in the bond market and CDS. A chapter also examines whether and how the issuer stock price reacts to the withdrawal of its credit rating
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Piwald, Wolfgang Bühl Verena. "Rating-Agenturen : Arbeitsweise, Rechtslage, Entwicklung /." Saarbrücken : VDM-Verl. Müller, 2005. http://deposit.ddb.de/cgi-bin/dokserv?id=2686952&prov=M&dok_var=1&dok_ext=htm.
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Schunck, Stefan. "Qualitätsmanagement und Rating von Unternehmen /." Aachen : Shaker, 2007. http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&doc_number=015725804&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA.
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Piwald, Wolfgang Bühl Verena. "Rating-Agenturen Arbeitsweise, Rechtslage, Entwicklung." Saarbrücken VDM, Müller, 2004. http://deposit.ddb.de/cgi-bin/dokserv?id=2686952&prov=M&dok_var=1&dok_ext=htm.
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Anderson, David James. "Energy rating of photovoltaic modules." Thesis, University of Strathclyde, 2002. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.248767.
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Cain, Samuel Franklin. "Rating Rockfall Hazard in Tennessee." Thesis, Virginia Tech, 2004. http://hdl.handle.net/10919/9972.
Full textAbstract:
Rockfall from rock slopes adjacent to roadways is a major hazard and poses a problem for transportation agencies across the country. The state of Tennessee has implemented the Tennessee Rockfall Management System (RMS) as a means of reducing the liabilities associated with rockfall hazard. It utilizes digital data acquisition via PDAs coupled with distribution via an expandable web-based GIS database. The Tennessee Rockfall Hazard Rating System (RHRS) is part of the Tennessee RMS and assigns a numeric hazard rating according relative hazard for all slopes identified as having a high potential for delivering rock blocks onto Tennessee Department of Transportation maintained roadways. The Tennessee RHRS uses standard rock slope failure mechanisms (planar failure, wedge failure, topple failure, differential weathering, and raveling) along with the site and roadway geometry to assess the rockfall hazard of an individual slope. This study suggests methods that will expedite fieldwork, including an informational guide on how to properly identify individual failure mechanisms in the field. Also, the study examines the current method of scoring abundance and suggests an alternative, multiplicative approach. The alternative of using a multiplicative abundance is considered and its results summarized.Master of Science