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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Format: | Article |
Language: | English |
Published: |
MDPI AG
2021-05-01
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Series: | Econometrics |
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Online Access: | https://www.mdpi.com/2225-1146/9/2/23 |