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Credit rating agencies, shock and public expectations

Trouillet, Julien (2015-02), Credit rating agencies, shock and public expectations, AFSE 2015 64th Congress, 2015-06, Rennes, France

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Article_CRA_Julien_Trouillet.pdf (311.1Kb)
Type
Communication / Conférence
Date
2015-02
Conference title
AFSE 2015 64th Congress
Conference date
2015-06
Conference city
Rennes
Conference country
France
Pages
16
Metadata
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Author(s)
Trouillet, Julien
Abstract (EN)
This paper studies the behavior of a Credit Rating Agency after a shock. As it has already been discussed, reputation incentives may not be sufficient to discipline a CRA. In a cheap-talk game, I show that a CRA may have incentives to be lax in its ratings when a bubble is about to burst and severe after a shock that has hit its reputation and the economy. The consequences may be severe depending on the economy we are thinking of, emerging markets or an economy with financial disintermediation may be the most threatened. This can be see as one of the factors that may have foster the last financial crisis, especially the south east asian and the subprime ones.
Subjects / Keywords
Credit Rating Agency; Reputation
JEL
G24 - Investment Banking; Venture Capital; Brokerage; Ratings and Ratings Agencies
G21 - Banks; Depository Institutions; Micro Finance Institutions; Mortgages
D81 - Criteria for Decision-Making under Risk and Uncertainty

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