Sovereign Rating News And Financial Markets Spillovers

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Sovereign Rating News and Financial Markets Spillovers

Mr.Rabah Arezki,Bertrand Candelon,Mr.Amadou N. R. Sy
Sovereign Rating News and Financial Markets Spillovers Book PDF

Author : Mr.Rabah Arezki,Bertrand Candelon,Mr.Amadou N. R. Sy
Publisher : International Monetary Fund
Page : 29 pages
File Size : 55,8 Mb
Release : 2011-03-01
Category : Business & Economics
ISBN : 9781455227112

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Sovereign Rating News and Financial Markets Spillovers by Mr.Rabah Arezki,Bertrand Candelon,Mr.Amadou N. R. Sy Pdf

This paper examines the spillover effects of sovereign rating news on European financial markets during the period 2007-2010. Our main finding is that sovereign rating downgrades have statistically and economically significant spillover effects both across countries and financial markets. The sign and magnitude of the spillover effects depend both on the type of announcements, the source country experiencing the downgrade and the rating agency from which the announcements originates. However, we also find evidence that downgrades to near speculative grade ratings for relatively large economies such as Greece have a systematic spillover effects across Euro zone countries. Rating-based triggers used in banking regulation, CDS contracts, and investment mandates may help explain these results.

Emerging Markets Instability

Graciela Laura Kaminsky,Sergio L. Schmukler
Emerging Markets Instability Book PDF

Author : Graciela Laura Kaminsky,Sergio L. Schmukler
Publisher : World Bank Publications
Page : 35 pages
File Size : 50,6 Mb
Release : 2001
Category : Contagio financiero
ISBN : 8210379456XXX

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Emerging Markets Instability by Graciela Laura Kaminsky,Sergio L. Schmukler Pdf

Changes in sovereign ratings affect country risk and stock returns. And these changes are transmitted across countries, with neighbor-country effects being more significant.

Credit Rating Agencies on the Watch List

Raquel García Alcubilla,Javier Ruiz del Pozo
Credit Rating Agencies on the Watch List Book PDF

Author : Raquel García Alcubilla,Javier Ruiz del Pozo
Publisher : OUP Oxford
Page : 320 pages
File Size : 41,5 Mb
Release : 2012-03-29
Category : Business & Economics
ISBN : 9780191640995

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Credit Rating Agencies on the Watch List by Raquel García Alcubilla,Javier Ruiz del Pozo Pdf

Credit rating agencies have been criticized for their role in the financial crisis by understating credit risk. The US subprime mortgage crisis highlighted the systemic relevance of the rating agencies and the deficiencies in their activities; this led to an international consensus to regulate the rating business. Written by those involved in developing European Legislation, this book explains EU Regulation in the context of global initiatives undertaken by the G-20, the Financial Stability Board, and IOSCO to address failures within the rating industry. Through an in-depth analysis of the EU Regulation's requirements on governance, conflicts of interest, methodologies, and transparency, the book provides a clear explanation of how rating agencies operate and how the identified failures have been addressed. Moreover, it examines the supervisory and enforcement powers of ESMA, the EU authority in charge of the registration and oversight of rating agencies. This is complemented with an analysis of guidance from supervisors (ESMA and EBA), IOSCO's recommendations, and US legislation. The book discusses possible new regulatory developments in areas such as the agencies' business model, competition, civil liability, and ratings of sovereign debt, in light of the Euro debt sovereign crisis. It concludes with the authors' support for an enhanced regulatory and oversight coordination at international level and for the implementation of the necessary steps to reduce the existing over-reliance on ratings.

Finance & Development, December 2010

International Monetary Fund. External Relations Dept.
Finance Development December 2010 Book PDF

Author : International Monetary Fund. External Relations Dept.
Publisher : International Monetary Fund
Page : 61 pages
File Size : 54,6 Mb
Release : 2010-12-01
Category : Business & Economics
ISBN : 9781451922356

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Finance & Development, December 2010 by International Monetary Fund. External Relations Dept. Pdf

This issue of F&D looks at the growing role of emerging markets. Analysis by the IMF's Ayhan Kose and Eswar Prasad, professor of trade policy at Cornell University, argues that their economic ascendance will enable emerging markets such as Brazil, China, India, and Russia to play a more significant part in global economic governance and take on more responsibility for economic and financial stability. And Vivek Arora and Athanasios Vamvakidis measure how China's economy is increasingly affecting the rest of the world not just its neighbors and main trading partners. In addition, F&D examines a variety of topics that are particularly relevant as the world struggles to shake off the crisis. Alan Blinder and Mark Zandi look at the positive effects of stimulus in the United States. Without it, they say, the United States would still be in recession. IMF researchers look at how countries can get debt under control, and what happens when government debt is downgraded. Other articles examine the human costs of unemployment, how inequality can lead over time to financial crisis, and what changes in the way banks do business could mean for the financial system. Two articles look at Islamic banking, which was put to the test during the global crisis and proved its mettle, and in Faces of the Crisis Revisited, we continue to track how the recession affected several individuals around the world. This issue of F&D profiles Princeton economic theorist Avinash Dixit in the regular People in Economics feature, and Back to Basics looks at externalities.

Sovereign credit ratings

Great Britain: Parliament: House of Lords: European Union Committee
Sovereign credit ratings Book PDF

Author : Great Britain: Parliament: House of Lords: European Union Committee
Publisher : The Stationery Office
Page : 52 pages
File Size : 42,8 Mb
Release : 2011-07-21
Category : Business & Economics
ISBN : 0108473724

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Sovereign credit ratings by Great Britain: Parliament: House of Lords: European Union Committee Pdf

The EU Economic and Financial Affairs and International Trade Sub-Committee's inquiry into the credit rating agencies' influence on the EU's sovereign debt crisis concludes that their role in the 2008 banking collapse, which was rightly criticised, should not colour assessments of their decisions on EU sovereign debt. The agencies have caused controversy each time they downgraded further the sovereign debt ratings of Greece, Ireland and Portugal. But the Committee says the downgrades reflect the seriousness of the problems in some Member States. The valid charge against the ratings agencies is not that they precipitated or exacerbated the euro area crisis, but rather that they failed to identify risks in some Member States which, in some cases, had been building for many years. Recommendations include: market investors must take responsibility for their own decisions and should not follow the agencies blindly as the basis for investment decisions; EU Governments should focus on correcting the flawed market structures which give undue weight to the rating agencies' opinions; credit rating agencies must learn from their failure to identify mounting risks in some euro area Member States; the European Commission should not press forward with proposals to establish a publicly funded European credit rating agency, but should consider launching a thorough competition inquiry into the credit rating industry; proposals to give sovereigns more advance warning of rating changes are flawed.

Sovereign Credit Rating

Ahmed Naciri
Sovereign Credit Rating Book PDF

Author : Ahmed Naciri
Publisher : Routledge
Page : 177 pages
File Size : 43,7 Mb
Release : 2016-12-19
Category : Business & Economics
ISBN : 9781317192992

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Sovereign Credit Rating by Ahmed Naciri Pdf

The current degradation of sovereign balance sheets raises very real concerns about how sovereign creditworthiness is measured by credit rating agencies. Given the disastrous economic and social effects of any downgrade, the book offers an alternative and calls for more transparency about the quantitative measures used in calibrating the rating process and how sovereign ratings are validated. It argues that oversight is required and procedures improved, including subjecting methodologies of assessing default to more standardization and monitoring. Sovereign Credit Rating explains the process of sovereign creditworthiness assessment and explores the consequences of possible inaccuracies in the process. Developing an innovative new methodology to assess ratings accuracy, it shows that the announcement of each rating action by the major credit rating agencies show alarming inconsistencies. Written by an internationally recognized author and professor, this unique book will be of interest to researchers and advanced students in corporate governance, accounting, public finance and regulation.

Credit Ratings and Market Over-reliance

Francesco De Pascalis
Credit Ratings and Market Over reliance Book PDF

Author : Francesco De Pascalis
Publisher : BRILL
Page : 245 pages
File Size : 46,8 Mb
Release : 2017-06-26
Category : Business & Economics
ISBN : 9789004341852

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Credit Ratings and Market Over-reliance by Francesco De Pascalis Pdf

7.1.3 Evidence of Over-reliance on Credit Rating Legislative References -- 7.2 Anticipating the Post-crisis Debate on Over-reliance -- 7.2.1 CRA Message to the Regulators -- 7.2.2 CRA Message to the Users of Credit Ratings -- Concluding Remarks -- 8 Conclusions -- 8.1 Taking Stock of the Situation -- 8.2 Developing an Assertion into Certainty: Providing Evidence of Over-reliance -- 8.3 Encouraging More Dialogue and Coordination at All Levels -- 8.4 Ensuring More of a Level-playing Field among Credit Risk Assessment Tools -- 8.5 Looking Ahead -- Concluding Remarks -- Bibliography -- Index

Emerging Markets and Sovereign Risk

N. Finch
Emerging Markets and Sovereign Risk Book PDF

Author : N. Finch
Publisher : Springer
Page : 298 pages
File Size : 48,8 Mb
Release : 2014-12-09
Category : Business & Economics
ISBN : 9781137450661

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Emerging Markets and Sovereign Risk by N. Finch Pdf

Emerging Markets and Sovereign Risk provides case studies, commentary and analysis on the financial risk management and measurement in the context of frontier and developing counties from international experts covering three key areas of emerging market investments, the rating sovereign risk and managing sovereign risk.

Liquidity Risk, Efficiency and New Bank Business Models

Santiago Carbó Valverde,Pedro Jesús Cuadros Solas,Francisco Rodríguez Fernández
Liquidity Risk Efficiency and New Bank Business Models Book PDF

Author : Santiago Carbó Valverde,Pedro Jesús Cuadros Solas,Francisco Rodríguez Fernández
Publisher : Springer
Page : 305 pages
File Size : 52,8 Mb
Release : 2016-09-10
Category : Business & Economics
ISBN : 9783319308197

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Liquidity Risk, Efficiency and New Bank Business Models by Santiago Carbó Valverde,Pedro Jesús Cuadros Solas,Francisco Rodríguez Fernández Pdf

This book provides insight into current research topics in finance and banking in the aftermath of the financial crisis. In this volume, authors present empirical research on liquidity risk discussed in the context of Basel III and its implications. Chapters also investigate topics such as bank efficiency and new bank business models from a business diversification perspective, the effects on financial exclusion and how liquidity mismatches are related with the bank business model. This book will be of value to those with an interest in how Basel III has had a tangible impact upon banking processes, particularly with regard to maintaining liquidity, and the latest research in financial business models.

The Governance of Credit Rating Agencies

Andrea Miglionico
The Governance of Credit Rating Agencies Book PDF

Author : Andrea Miglionico
Publisher : Edward Elgar Publishing
Page : 360 pages
File Size : 47,8 Mb
Release : 2019
Category : LAW
ISBN : 9781786439949

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The Governance of Credit Rating Agencies by Andrea Miglionico Pdf

The global crisis revealed that credit rating agencies (CRAs) are capable of bringing about potential distortions in the financial sector, thereby resulting in a reduction in market confidence which, in turn, influences negotiations and expectations. CRAs need to be held accountable for lack of transparency and inaccurate ratings, however the existing regulatory framework does not secure adequate investor protection. This book provides a new and important contribution to research in the area, at a crucial time in the debate around financial regulation and investment regimes.

Credit Rating Governance

Ahmed Naciri
Credit Rating Governance Book PDF

Author : Ahmed Naciri
Publisher : Routledge
Page : 221 pages
File Size : 55,6 Mb
Release : 2015-01-30
Category : Business & Economics
ISBN : 9781317634355

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Credit Rating Governance by Ahmed Naciri Pdf

Credit rating agencies play an essential role in the modern financial system and are relied on by creditors and investors on the market. In the recent financial crisis, their power and reliability were often questioned, yet a simple rating downgrade could threaten to bankrupt a whole country. This book examines the governance of credit rating agencies, as expressed by their ability to fairly, ethically and consistently assign higher rates to issuers having lesser default risks. However, factors such as the drive for increased revenue and market share, the inadequate business model, the inadequate methodology of assessing risk, opacity and inadequate internal monitoring have all been identified as critical governance failures for credit agencies. This book explores these issues, and proposes some potential solutions and improvements. This will be of interest to researchers and advanced students of corporate finance, finance, financial economics, risk management, investment management, and banking.

Financial Risk Management and Climate Change Risk

Antonio Scalia
Financial Risk Management and Climate Change Risk Book PDF

Author : Antonio Scalia
Publisher : Springer Nature
Page : 323 pages
File Size : 46,5 Mb
Release : 2023-09-22
Category : Business & Economics
ISBN : 9783031338823

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Financial Risk Management and Climate Change Risk by Antonio Scalia Pdf

Financial risk management for institutional investors has recently grown in scope to include long-term sustainability considerations and climate change risk concerns. This book shows how a national central bank in the Eurosystem has adapted its financial risk management principles and practices against the background of non-conventional monetary policy measures and following the introduction of sustainability criteria, with a special role for carbon-neutrality. The topics covered include a market-based approach to evaluating credit risk, the development of an independent credit rating system, and the properties and limitations of agencies’ sovereign ratings. Furthermore, the book analyzes the integration of sustainability principles into strategic asset allocation and describes the use of machine learning techniques for discerning the role of the E, S and G variables in equity returns. The authors also discuss the growth of the global green bond market and the greenium, as well as the sustainability indicators for large portfolios of corporate and government securities. Given its scope, the book will appeal to all professionals working in the field who would like to know the state-of-the-art in these areas.

Global Versus Local Perspectives on Finance and Accounting

David Procházka
Global Versus Local Perspectives on Finance and Accounting Book PDF

Author : David Procházka
Publisher : Springer
Page : 397 pages
File Size : 47,7 Mb
Release : 2019-02-28
Category : Business & Economics
ISBN : 9783030118518

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Global Versus Local Perspectives on Finance and Accounting by David Procházka Pdf

This proceedings volume examines accounting and financial issues and trends from both global and local economic perspectives. Featuring selected contributions presented at the 19th Annual Conference on Finance and Accounting (ACFA) held in Prague, Czech Republic, this book offers a mixture of research methods and micro- and macroeconomic approaches to depict a detailed picture of the impact of global and local determinants on the globalized economy. The global perspectives versus local specifics make the volume useful for not only academics and scholars, but also for regulators and policy makers when deliberating the potential outcome of competing regulatory mechanisms. The Annual Conference on Finance and Accounting (ACFA) has become one of the biggest conferences in the Central and Eastern European (CEE) region solely oriented to contemporary research in finance and accounting. Bringing together researchers and scholars from all over the world, the conference provides a platform in which thoughts, visions, and contemporary developments in the field of finance and accounting are discussed.

Entrepreneurship, Business and Economics - Vol. 2

Mehmet Huseyin Bilgin,Hakan Danis
Entrepreneurship Business and Economics Vol 2 Book PDF

Author : Mehmet Huseyin Bilgin,Hakan Danis
Publisher : Springer
Page : 720 pages
File Size : 43,6 Mb
Release : 2016-03-23
Category : Business & Economics
ISBN : 9783319275734

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Entrepreneurship, Business and Economics - Vol. 2 by Mehmet Huseyin Bilgin,Hakan Danis Pdf

This volume of Eurasian Studies in Business and Economics focuses on latest results from research in Banking and Finance, Accounting and Corporate Governance, Growth and Development, along with a focus on the Energy sector. The first part on Accounting and Corporate Governance features articles on environmental accounting, audit quality, financial information, and adoption of governance principles. The Banking and Finance part looks at risk-behavior in banks, credit ratings during subprime crisis, stakeholder management, and stock market crises. The book focuses then on the energy sector and analyzes macroeconomic impacts of electricity generation, risk dimensions in wind energy, the latest EU energy reforms, and discusses prediction models.

Mathematical and Statistical Methods for Actuarial Sciences and Finance

Marco Corazza,Florence Legros,Cira Perna,Marilena Sibillo
Mathematical and Statistical Methods for Actuarial Sciences and Finance Book PDF

Author : Marco Corazza,Florence Legros,Cira Perna,Marilena Sibillo
Publisher : Springer
Page : 169 pages
File Size : 42,6 Mb
Release : 2017-12-28
Category : Business & Economics
ISBN : 9783319502342

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Mathematical and Statistical Methods for Actuarial Sciences and Finance by Marco Corazza,Florence Legros,Cira Perna,Marilena Sibillo Pdf

This volume gathers selected peer-reviewed papers presented at the international conference "MAF 2016 – Mathematical and Statistical Methods for Actuarial Sciences and Finance”, held in Paris (France) at the Université Paris-Dauphine from March 30 to April 1, 2016. The contributions highlight new ideas on mathematical and statistical methods in actuarial sciences and finance. The cooperation between mathematicians and statisticians working in insurance and finance is a very fruitful field, one that yields unique theoretical models and practical applications, as well as new insights in the discussion of problems of national and international interest. This volume is addressed to academicians, researchers, Ph.D. students and professionals.