No Nera for agencies

Moody's and S&P claim that a recently commissioned study supports their belief that not all agencies' ratings are equal. Fitch, meanwhile, takes a different line of argument. Saskia Scholtes examines the notches that have driven a wedge between the agencies.

The long-awaited publication of a study into structured finance ratings by economics consultancy Nera (National Economic Research Associates) has fallen far short of resolving the dispute it was commissioned to settle – prompting a string of contradictory statements from the rating agencies. Commissioned by Moody’s in late 2001, the study was an effort to respond to criticism, especially from rival agency Fitch Ratings, about the practice of ‘notching’ in the ratings for the underlying

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Credit risk & modelling – Special report 2021

This Risk special report provides an insight on the challenges facing banks in measuring and mitigating credit risk in the current environment, and the strategies they are deploying to adapt to a more stringent regulatory approach.

The wild world of credit models

The Covid-19 pandemic has induced a kind of schizophrenia in loan-loss models. When the pandemic hit, banks overprovisioned for credit losses on the assumption that the economy would head south. But when government stimulus packages put wads of cash in…

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