Quotation Hornik, Kurt, Jankowitsch, Rainer, Lingo, Manuel, Pichler, Stefan, Winkler, Gerhard. 2010. Determinants of Heterogeneity in European Credit Ratings. Financial Markets and Portfolio Management 24 (3): 271-287.


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Abstract

In this study, we empirically analyze the determinants of heterogeneity in rating assessments across different segments of the European loan market. We conduct a benchmarking analysis using rating information on European corporate obligors from nine major Austrian banks that have a large share of foreign lending, particularly in the Central and Eastern European region. We provide evidence that, generally, overall heterogeneity among rating outcomes for foreign markets is higher than for domestic markets. Furthermore, we show that heterogeneity increases in transition economies and those markets where Austrian bank involvement is relatively low. Our evidence supports the hypothesis that heterogeneity in the assessment of credit risk is determined not only by the objective quality of information, which is deemed to be lower in transition economies, but also by the subjective access to information about obligors measured by the level of domestic bank involvement in the respective foreign market. Furthermore, we quantify potential effects on regulatory capital requirements. DOI: 10.1007/s11408-010-0134-x

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Publication's profile

Status of publication Published
Affiliation WU
Type of publication Journal article
Journal Financial Markets and Portfolio Management
WU-Journal-Rating new STRAT-C
Language English
Title Determinants of Heterogeneity in European Credit Ratings
Volume 24
Number 3
Year 2010
Page from 271
Page to 287
Reviewed? Y
URL http://www.springerlink.com/content/w3m7459184t733p0/

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People
Hornik, Kurt (Details)
Jankowitsch, Rainer (Details)
Lingo, Manuel (Details)
Pichler, Stefan (Details)
Winkler, Gerhard (Details)
Organization
Institute for Statistics and Mathematics IN (Details)
Research Institute for Computational Methods FI (Details)
Institute for Finance, Banking and Insurance IN (Details)
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