Moody’s investors service response to the consultative paper issued by the Basel Committee on Bank Supervision “A new capital adequacy framework”

By Richard M Cantor. 2001

159 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/2cf5c2dbc2db6e0c7005151e1da7765b2adb5e05

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Citations in the corpus

The Performance of Credit Rating Systems in the Assessment of Collateral used in Eurosystem Monetary Policy Operations (2007, background): “As discussed by Cantor (2001), Fons (2002) and Cantor and Mann (2003), however, agency ratings are said to be more stable in this respect because they aim to measure default risk over long investment horizons and apply a “through the cycle” rating philosophy (Crouhy et al. (2001) and Heitfield…”
Avoiding the rating bounce: why rating agencies are slow to react to new information (2005, background): “Moody's claims that it manages ratings in order to " balance the market's need for timely updates on issuer risk profiles, with its conflicting expectation for stable ratings " (Cantor, 2001, 175).”
Procyclicality in Basel II: Can we treat the disease without killing the patient? (2006, background): “We plot all points in the time-series for three representative banks (the banks are distinguished by using three different marker symbols).”
A Point-in-Time Perspective on Through-the-Cycle Ratings (2006, background): “Hamilton and Cantor (2004) conducted some initial tests that show that the accuracy ratio of agency ratings improves significantly when “Outlook” and “CreditWatch” information is added.”
Are Credit Ratings Procyclical (2004, methodology): “Moreover, as argued by Cantor and Mann (2003b) on the basis of data from Moody s, the fact that ratings typically change by only a small fraction of one notch per year, and rarely by more than two notches in a given year, suggests that changes in funding costs for issuers may not be economically sig”
The Credit Rating Industry: An Industrial Organization Analysis (2001, background): “53 It is worth noting that this removal of ratings from safety-and-soundness regulation has been the position advocated by Moody's in its letters and filings to the SEC; see Moody's (1994; 1995; 1998) and Cantor (2001).”
Credit Rating Agencies in Capital Markets: A Review of Research Evidence on Selected Criticisms of the Agencies (2007, unknown): “See Cantor and Packer (1994) for the historical development of the credit rating industry. See BIS (2000) for a comprehensive description of the global credit rating industry. 13. For example, seven of the thirty agencies described in the BIS report (BIS [2000]) have twelve or fewer employees. 14. R”
An introduction to recent research on credit ratings (2004, background): “As shown in a recent study by Hamilton and Cantor (2004), rating transitions conditional outlook and Watchlist status may indeed be independent of rating history. Jafry and Schuermann (2004) compare the implications of the two estimation methods – the cohort/multinomial and continuous-time/duration ”