Credit Ratings and Credit Risk: Is One Measure Enough?
Published Online:17 Oct 2016https://doi.org/10.1287/mnsc.2016.2514
References
- (1968) Financial ratios, discriminant analysis and the prediction of corporate bankruptcy. J. Finance 23(4):589–609.Crossref, Google Scholar
- (1998) Defaults and returns on high-yield bonds: Analysis through 1997. Working paper, New York University, New York.Google Scholar
- (2004) Are credit ratings procyclical? J. Banking Finance 28(11):2641–2677.Crossref, Google Scholar
- (2006) Downside risk. Rev. Financial Stud. 19(4):1191–1239.Crossref, Google Scholar
- (2013) Is there a distress risk anomaly? Corporate bond spread as a proxy for default risk. Working paper, Virginia Tech Pamplin Business School, Washington, DC.Google Scholar
- (2009) Dispersion in analysts’ earnings forecasts and credit rating. J. Financial Econom. 91(1):83–101.Crossref, Google Scholar
- (1966) Financial ratios as predictors of failure. J. Accounting Res. 4:91–101.Crossref, Google Scholar
- (2005) Have financial statements become less informative? Rev. Accounting Stud. 10(1):93–122.Crossref, Google Scholar
- (2009) The alchemy of CDO credit ratings. J. Monetary Econom. 56(5):617–634.Crossref, Google Scholar
- (2008) Measuring default risk premia from default swap rates and EDFs. Working paper, Carnegie Mellon University, Pittsburgh.Google Scholar
- (2010) The levered equity risk premium and credit spreads: A unified framework. Rev. Financial Stud. 23(2):645–703.Crossref, Google Scholar
- (2008) Forecasting default with the Merton distance to default model. Rev. Financial Stud. 21(3):1339–1369.Crossref, Google Scholar
- (2017) Are ratings the worst form of credit assessment apart from all the others? J. Financial Quant. Anal. Forthcoming.Google Scholar
- (1991) Returns and volatility of low-grade bonds 1977–1989. J. Finance 46(1):49–74.Crossref, Google Scholar
- (1998) The declining credit quality of U.S. corporate debt: Myth or reality? J. Finance 53(4):1389–1413.Crossref, Google Scholar
- (2012) The credit ratings game. J. Finance 67(1):85–111.Crossref, Google Scholar
- (2009) Tranching and rating. Eur. Financial Management 15(5):891–922.Crossref, Google Scholar
- (2003) Equity volatility and corporate bond yields. J. Finance 58(6):2321–2349.Crossref, Google Scholar
- (2008) In search of distress risk. J. Finance 63(6):2899–2939.Crossref, Google Scholar
- (2011) Predicting financial distress and the performance of distressed stocks. J. Investment Management 9(2):14–34.Google Scholar
- (2008) Expected returns, yield spreads, and asset pricing tests. Rev. Financial Stud. 21(3):1297–1338.Crossref, Google Scholar
- (2003) Measuring the performance of corporate bond ratings. Special Comment, April 2003. Available at SSRN: http://ssrn.com/abstract=996025.Google Scholar
- (2001) Parameterizing credit risk models with rating data. J. Banking Finance 25(1):197–270.Crossref, Google Scholar
- (2004) Bankruptcy prediction with industry effects. Rev. Finance 8(4):537–569.Crossref, Google Scholar
- (2010) Macroeconomic conditions and the puzzles of credit spreads and capital structure. J. Finance 65(6):2171–2212.Crossref, Google Scholar
- (2013) Estimating the costs of issuer-paid credit ratings. Rev. Financial Stud. 26(9):2229–2269.Crossref, Google Scholar
- (2009) Economic catastrophe bonds. Amer. Econom. Rev. 99(3):628–666.Crossref, Google Scholar
- (2014) The emprical Merton model. Working paper, University of Chicago, Chicago.Google Scholar
- (2012) Liquidity risk premia in corporate bond markets. Quart. J. Finance 2(2), https://doi.org/10.1142/S2010139212500061.Crossref, Google Scholar
- (2003) Credit risk and risk neutral default probabilities: Information about rating migrations and defaults. EFA 2003 Annual Conference Paper 962, http://ssrn.com/abstract=42301.Google Scholar
- (1998) Is the risk of bankruptcy a systematic risk? J. Finance 53(3):1141–1148.Crossref, Google Scholar
- (2001) The long-run stock returns following bond ratings changes. J. Finance 56(1):173–203.Crossref, Google Scholar
- (2007) Multi-period corporate default prediction with stochastic covariates. J. Financial Econom. 83(3):635–665.Crossref, Google Scholar
- (2009) Frailty correlated default. J. Finance 64(5):2089–2123.Crossref, Google Scholar
- (1987) The informational content of bond ratings. J. Financial Res. 10(3):211–226.Crossref, Google Scholar
- (2008) Time varying risk premia in corporate bond markets. Working paper, University of Toronto, Toronto.Google Scholar
- (2001) Explaining the rate spread on corporate bonds. J. Finance 56(1):247–277.Crossref, Google Scholar
- (1993) Common risk factors in the returns on stocks and bonds. J. Financial Econom. 33(1):3–56.Crossref, Google Scholar
- (1996) Multifactor explanations of asset pricing anomalies. J. Finance 51(1):55–84.Crossref, Google Scholar
- (2014) The credit spread puzzle—Myth or reality? Working paper, London Business School, London.Google Scholar
- (1959) Determinants of risk premiums on corporate bonds. J. Political Econom. 67(3):217–237.Crossref, Google Scholar
- (1991) An approach to forecasting default rates. Moody’s special report, August.Google Scholar
- (2014) The cross-section of credit risk premia and equity returns. J. Finance 69(6):2419–2469.Crossref, Google Scholar
- (2003) The quality of corporate credit rating: An empirical investigation. Working paper, Ben-Gurion University, Beersheba, Israel.Google Scholar
- (2009) The leverage cycle. Cowles Foundation Discussion Paper 1715, Yale University, New Haven, CT.Google Scholar
- (2010) A resolution of the distress risk and leverage puzzles in the cross section of stock returns. J. Financial Econom. 96(1):56–79.Crossref, Google Scholar
- (1997) Transaction costs and capital structure choice: Evidence from financially distressed firms. J. Finance 52(1):161–196.Crossref, Google Scholar
- (1990) Troubled debt restructurings: An empirical study of private reorganizations of firms in default. J. Financial Econom. 27(2):315–353.Crossref, Google Scholar
- (2012) Did subjectivity play a role in CDO credit ratings? J. Finance 67(4):1293–1328.Crossref, Google Scholar
- (1958) Corporate Bond Quality and Investor Experience (Princeton University Press, Princeton, NJ).Google Scholar
- (2004) Assessing the probability of bankruptcy. Rev. Accounting Stud. 9(1):5–34.Crossref, Google Scholar
- (2012) How much of the corporate-treasury yield spread is due to credit risk? Rev. Asset Pricing Stud. 2(2):153–202.Crossref, Google Scholar
- (2014) The determinants of recovery rates in the U.S. corporate bond market. J. Financial Econom. 114(1):155–177.Crossref, Google Scholar
- (2011) Endogenous leverage and expected stock returns. Finance Res. Lett. 8(3):132–145.Crossref, Google Scholar
- (1996) Forecasting default rates on high-yield bonds. J. Fixed Income 6(1):69–77.Crossref, Google Scholar
- (2005) Informational effects of regulation FD: Evidence from rating agencies. J. Financial Econom. 76(2):309–330.Crossref, Google Scholar
- (2011) Tracking down distress risk. J. Financial Econom. 102(1):167–182.Crossref, Google Scholar
- (1979) Statistical models of bond ratings: A methodological inquiry. J. Bus. 52(2):231–261.Crossref, Google Scholar
- (2003) Quantifying credit risk I: Default prediction. Financial Analysts J. 59(1):30–44.Crossref, Google Scholar
- (1997) Credit cycles. J. Political Econom. 105(2):211–248.Crossref, Google Scholar
- (2001) Generally accepted rating principles: A primer. J. Banking Finance 25(1):3–23.Crossref, Google Scholar
- (2014) Conditional risk premia in currency markets and other asset classes. J. Financial Econom. 114(2):197–225.Crossref, Google Scholar
- (2004a) An anatomy of rating through the cycle. J. Banking and Finance 28(3):695–720.Crossref, Google Scholar
- (2004b) Ratings versus market-based measures of default risk in portfolio governance. J. Banking and Finance 28(11):2715–720.Crossref, Google Scholar
- (1999) High-yield bond default and call risks. Rev. Econom. Statist. 81(3):409–419.Crossref, Google Scholar
- (1974) On the pricing of corporate debt: The risk structure of interest rates. J. Finance 29(2):449–470.Google Scholar
- (2005) Are firms underleveraged? An examination of the effect of leverage on default probabilities. J. Finance 60(3):1427–1459.Crossref, Google Scholar
- (2015) When is distress risk priced? Evidence from recessionary failure prediction. Working Paper 3297, Stanford University Graduate School of Business, Stanford, CA.Google Scholar
- (1980) Financial ratios and the probabilistic prediction of bankruptcy. J. Accounting Res. 18(1):109–131.Crossref, Google Scholar
- (2009) Estimating standard errors in finance panel data sets: Comparing approaches. Rev. Financial Stud. 22(1):435–480.Crossref, Google Scholar
- (2008) Structural models of credit risk are useful: Evidence from hedge ratios on corporate bonds. J. Financial Econom. 90(1):1–19.Crossref, Google Scholar
- (1975) An analysis of alternative measures of investment risk. J. Finance 30(1):193–200.Crossref, Google Scholar
- (1994) Financial market imperfections, firm leverage, and the cyclicality of employment. Amer. Econom. Rev. 84(4):1060–1074.Google Scholar
- (2001) Forecasting bankruptcy more accurately: A simple hazard model. J. Bus. 74(1):101–124.Crossref, Google Scholar
- (2005) Advanced credit model performance testing to meet basel requirements. Ong MK, ed. The Basel Handbook: A Guide for Financial Practitioners (Risk Publications, London, UK), 155–181.Google Scholar
- (2004) Default risk in equity returns. J. Finance 59(2):831–868.Crossref, Google Scholar
- (1970) An alternative approach to predicting corporate bond ratings. J. Accounting Res. 8(1):118–125.Crossref, Google Scholar

