We report on the current state and important older findings of empirical studies on corporate
credit ratings and their relationship to ratings of other entities. Specifically, we consider the …

This study proposes an information asymmetry hypothesis to examine why bank credit
ratings vary among countries even when bank financial ratios remain constant. Countries …

In order to manage model risk, financial institutions need to set up validation processes so
as to monitor the quality of the models on an ongoing basis. Validation can be considered …

In this paper we conduct a systematic comparison of confidence intervals around estimated
probabilities of default (PD) using several analytical approaches as well as parametric and …

This study investigates how earnings management influences credit ratings, and thus the
cost of debt, using bank data from 85 countries. Using cross‐country data also facilitates the …

One of the most important policy issues for financial authorities is to decide at what level
average capital charges should be set. The decision may alternatively be expressed as the …

We find that support vector machines can produce notably better predictions of international
bank ratings than the standard method currently used for this purpose, ordered choice …

This paper estimates ordered logit models for bank ratings which include a country index to
capture country-specific variation. The empirical findings support the hypothesis that the …

We conduct a systematic comparison of confidence intervals around estimated probabilities
of default (PD), using several analytical approaches from large-sample theory and …

This paper simulates the minimum capital requirements for the wholesale exposures of a
medium-sized bank in each EMU country depending on the credit rating agencies chosen …