On the consistency of ratings and bond market yields

Article Abstract:

An analysis of the ordering of credit standing by identifying and documenting substantial differences in the bond market yields and ratings, giving the example of AA bonds with inconsistent prices and yields. The results show that inconsistencies between ratings and bond spreads are eliminated over time and after six months between half and two-thirds of inconsistencies will disappear.

Science & research, Research, Analysis, Bonds, Bonds (Securities), Financial analysis, Credit ratings

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Emerging problems with the Basel Capital Accord: Regulatory capital arbitage and related issues

Article Abstract:

Currently, financial innovations have provided opportunities for banks to reduce their regulatory capital requirements with little risk.

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Regulatory implications of credit risk modelling

Article Abstract:

This introduction explains why credit risk modelling has become a main issue for practitioners and financial supervisors.

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