An introduction to recent research on credit ratings

Credit risk has been one of the most active areas of recent financial research, driven by advances in portfolio risk measurement and management techniques, growth in credit derivatives trading, the anticipated adoption of the revised Basel Capital Accord, and regulatory concerns emanating from the US corporate credit meltdown in 2001 and 2002. Within this broader literature, a growing body of research analyzes the meaning, role, and influence of credit ratings. The papers collected in this Issue summarize much of the literature on this topic, answer important research questions, and suggest interesting avenues for new research.

[1]  Jerome S. Fons,et al.  Measuring Changes in Corporate Credit Quality , 1994 .

[2]  Lars Norden,et al.  Informational Efficiency of Credit Default Swap and Stock Markets: The Impact of Credit Rating Announcements , 2004 .

[3]  E. Altman,et al.  The Implications of Corporate Bond Ratings Drift , 1992 .

[4]  Richard Cantor,et al.  Moody’s investors service response to the consultative paper issued by the Basel Committee on Bank Supervision “A new capital adequacy framework” , 2001 .

[5]  Til Schuermann,et al.  Measurement, estimation and comparison of credit migration matrices , 2004 .

[6]  David Lando,et al.  Confidence Sets for Continuous-Time Rating Transition Probabilities , 2004 .

[7]  A. Mackinlay,et al.  The Declining Credit Quality of U.S. Corporate Debt: Myth or Reality? , 1998 .

[8]  Valentina Hartarska.  Rating in Microfinance: Cross-Country Evidence , 2005 .

[9]  Chunsheng Zhou.  Credit Rating and Corporate Defaults , 2001 .

[10]  Craig H. Furfine,et al.  Are Credit Ratings Procyclical , 2004 .

[11]  Amadou Sy,et al.  Rating the Rating Agencies: Anticipating Currency Crises or Debt Crises? , 2003, SSRN Electronic Journal.

[12]  Richard Cantor,et al.  Measuring the Performance of Corporate Bond Ratings , 2003 .

[13]  Alan G. White,et al.  The Relationship between Credit Default Swap Spreads, Bond Yields, and Credit Rating Announcements , 2004 .

[14]  Deepak Agrawal,et al.  Factors Affecting the Valuation of Corporate Bonds , 2000 .

[15]  A. Pop.  Market Discipline in International Banking Regulation: Keeping the Playing Field Level , 2005 .

[16]  David Lando,et al.  Analyzing rating transitions and rating drift with continuous observations , 2002 .

[17]  Richard Cantor,et al.  Rating Transition and Default Rates Conditioned on Outlooks , 2004 .

[18]  B. Maris,et al.  How Rating Agencies Achieve Rating Stability , 2005 .

[19]  Richard Cantor,et al.  The Credit Rating Industry , 1995 .

[20]  W. Perraudin,et al.  On the Consistency of Ratings and Bond Market Yields , 2003 .

[21]  Richard Cantor,et al.  Split Ratings and the Pricing of Credit Risk , 1997 .

[22]  Gunter Löffler,et al.  Ratings Versus Equity-Based Measures of Default Risk in Portfolio Governance , 2004 .