Ratings Shopping and Asset Complexity: A Theory of Ratings Inflation

By Vasiliki Skreta, Laura L. Veldkamp. 2009

542 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/ec6eb0cfa6430e71504eae62746d526b150f99c1

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

In Finance

Citations in the corpus

Markets: The Credit Rating Agencies (2010, unknown): “5 Skreta and Veldkamp (2009) develop a model in which the ability of issuers to choose among potential raters leads to overly optimistic ratings, even if the raters are all trying honestly to estimate the creditworthiness of the issuers.”
THE CREDIT‐RATING AGENCIES AND THE SUBPRIME DEBACLE (2009, background): “Moreover, Vasiliki Skreta and Laura Veldkamp ( 2008 ) point out that rating firms can make only estimates of the creditworthiness of a bond, so there will be errors.”
Rating Shopping or Catering? An Examination of the Response to Competitive Pressure for CDO Credit Ratings (2013, unknown): “5 The theoretical literature emphasizes that both rating shopping (Skreta and Veldkamp (2009)) and rating inflation (Opp, Opp, and Harris (2013) and Sangiorgi and Spatt (2013)) are more likely to occur in the CDO market due to its opacity and complexity.”
Controlling Attribute Effect in Linear Regression (2013, background): “For example, two publishers or evaluators can generate ratings for products/services where the ratings of one publisher are generally higher than that of the other [17], [18].”
The Economics of Solicited and Unsolicited Credit Ratings (2014, unknown): “In Skreta and Veldkamp (2009), investors do not fully account for this bias, which allows issuers to exploit this winner’s curse fallacy.”
Feedback effects of credit ratings (2013, background): “West (1973) and Ederington, Yawitz, and Roberts (1987) find that credit ratings predict bond yields beyond the information contained in publicly available financial variables and other variables that predict spread. Hand, Holthausen, and Leftwich (1992) document negative average excess bond and stoc”
International diversification: A copula approach (2011, background): “where q is a positive integer, as in Chapter 7 of Tsay (2002). The Hill estimator is asymptotically normal, and consistent if q is chosen appropriately.”