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Collateralized CVA Valuation with Rating Triggers and Credit Migrations
counterparty risk credit valuation adjustment CVA OTC contracts break clauses additional termination events
2012/6/5
In this paper we discuss the issue of computation of the bilateral credit valuation adjustment (CVA) under rating triggers, and in presence of ratings-linked margin agreements. Specifically, we consid...
Credit rating agencies in a post-Enron world: Congress revisits the NRSRO concept
the regulatory reforms credit rating industry Credit Rating Agency Reform competition between credit rating agencies
2011/9/2
This paper gives an overview of the regulatory reforms in the US credit rating industry, most notably through the Credit Rating Agency Reform Act of 2006. The paper first explicates the developments t...
Regulating credit rating agencies: The issue of conflicts of interest in the rating of structured finance products
civil liability credit rating agencies rating-based regulation regulation credit rating agencies
2011/8/30
As a result of the financial crisis, the work of the credit rating agencies (CRAs) has been questioned. It is said that they underestimated the risk in structured finance products and allowed conflict...
Effect of Wind Generation System Rating on Transient Dynamic Performance of the Micro-Grid during Islanding Mode
MG Distributed Generators Wind Power Rating and Dynamic Performance
2013/2/25
Recently, several types of distributed generations (DGs) are connected together and form a small power system called Micro Grid (MG). This paper developed a complete model which can simulate in detail...
About the Justification of Experience Rating: Bonus Malus System and a new Poisson Mixture Model
Risk Management Pricing Portfolio Management Bonus Malus System
2010/10/21
The claim experience of the past is a very important information to calculate the fair price of an insurance contract. In a lot of European countries for instance the prices for motor car insurance d...
Rating groups vs. ratings of group members: evidence from the Italian financial market
rating risk financial group organizational structure corporate events
2010/10/18
This paper examines the relationship between ratings of groups and individual group
entities, with a view to assessing the effects of change to the group structure on the rating.
The analysis focuse...
Dynamic Estimation of Credit Rating Transition Probabilities
Credit Rating Transition Probabilities
2010/11/3
We present a continuous-time maximum likelihood estimation methodology for credit rating
transition probabilities, taking into account the presence of censored data. We perform
rolling estimates of ...
Collective firm bankruptcies and phase transition in rating dynamics
Collective firm bankruptcies rating dynamics
2010/11/1
We present a simple model of firm rating evolution. We consider two sources of defaults: individual dynamics of economic development and Potts-like interactions between firms. We show that such a defi...
CA Earns Five-Star Rating from VARBusiness Magazine for Sixth Consecutive Year
VARBusiness
2007/3/22
ISLANDIA, N.Y., March 19, 2007 – For the sixth consecutive year, VARBusiness magazine has awarded CA (NYSE: CA) its highest honor for superior and innovative channel partner programs. CA was certified...