Are credit ratings procyclical? / Jeffery D'Amato and Craig H. Furfine

Bibliographic Details
Main Author: D'Amato, Jeffery
Format: Thesis Book
Published: Basel : Bank for International Settlements. Monetary and Economic Dept., 2003
Series:BIS working papers,
Subjects:
Table of Contents:
  • Bibliografía: p.15
  • TABLA DE CONTENIDO: Introduction
  • 1. Literature review
  • 2. Data
  • 3. Ordered probit model
  • 4. Results for data set 1: balance sheet dating
  • 5. Results for data set 2: initial ratinfs and rating changes
  • 6. Summary
  • Appendix: computation of likelihood function for data set 2
  • Graphs and tables.