Logo
Munich Personal RePEc Archive

Rating philosophies: some clarifications

Varsanyi, Zoltan (2007): Rating philosophies: some clarifications.

Warning
There is a more recent version of this item available.
[thumbnail of MPRA_paper_1660.pdf]
Preview
PDF
MPRA_paper_1660.pdf

Download (174kB) | Preview

Abstract

In this paper I try to give answers to some of the questions and problems that arise in relation to point in time (PIT) and through the cycle (TTC) rating philosophies. One of the most confusing of these is the definition of the two approaches that, as I argue, should be based on the scope of information behind the systems. Through a simple model I demonstrate that the results of quantitative analyses can be very sensitive to the definitions and, additionally, the stress concept applied. I analyze the role played by the rating philosophies in capital requirements calculations and stress tests, and touch on their implications on the pro-cyclicality of credit risk capital regulation.

Available Versions of this Item

Atom RSS 1.0 RSS 2.0

Contact us: mpra@ub.uni-muenchen.de

This repository has been built using EPrints software.

MPRA is a RePEc service hosted by Logo of the University Library LMU Munich.