Semiparametric Estimation of a Corporate Bond Rating Model

This paper investigates the incentive of credit rating agencies (CRAs) to bias ratings using a semiparametric, ordered-response model. The proposed model explicitly takes conflicts of interest into account and allows the ratings to depend flexibly on risk attributes through a semiparametric index st...

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Bibliographic Details
Main Author: Yixiao Jiang
Format: Article
Language:English
Published: MDPI AG 2021-05-01
Series:Econometrics
Subjects:
Online Access:https://www.mdpi.com/2225-1146/9/2/23