Credit risk rating systems at large US banks

By William F. Treacy, Mark Carey. 2000

277 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/cb83eb83b624511562d6b37d83b1198bb87cb72b

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Citations in the corpus

The Role of Non-Financial Factors in Internal Credit Ratings (2005, unknown): “As banks typically assign credit ratings for a one-year horizon (see Treacy and Carey, 2000), we analyze how different rating categories are related to the default status in the year following a rating assignment.”
Issues in the Credit Risk Modeling of Retail Markets (2004, background): “Treacy and Carey (2000) found that qualitative factors played more of a role in determining the ratings of loans to small and medium-sized firms, with the loan officer chiefly responsible for the ratings, in contrast with loans to large firms in which the credit staff primarily set the ratings…”
A Point-in-Time Perspective on Through-the-Cycle Ratings (2006, background): “Treacy and Carey (2000) described the through-thecycle rating methodology as a rating assessment in a worst-case scenario, at the bottom of a presumed credit-quality cycle.”
Credit Line Usage, Checking Account Activity, and Default Risk of Bank Borrowers (2010, unknown): “The bank has different internal credit rating systems for firms and individuals and considers the rating for all loan approval decisions, loan pricing, and loan loss provisioning (Machauer and Weber 1998; Treacy and Carey 2000; Grunert, Norden, and Weber 2005).”
Supply chain finance: From traditional to supply chain credit rating (2019, background): “The variables considered, the grades, and the scale can vary among banks (Treacy and Carey, 2000).”
Understanding the Securitization of Subprime Mortgage Credit (2008, unknown): “Treacy and Carey (2000) report that the usual fee charged by S&P is 3.25 bp of the face amount, though it may be up to 4.25 bp (Tomlinson and Evans, 2007); Fitch charges 3-7 bp (Tomlinson and Evans, 2007).”