[MRM] Vortrag MMag. Hofmarcher (WU Wien) Mittwoch 10. Juni 17:00

[INFORM]

Sehr geehrte Damen und Herren,

Im Rahmen des Seminars "Finanzmathematik" haelt Herr

       MMag. Paul Hofmarcher (WU Wien)

einen Vortrag mit dem Titel

    "The Information Value of Ratings"

Abstract:

Rating agencies are important producers and disseminators of financial 
information.
Credit ratings try to solve an *information* problem. The issuer (obligor 
who is rated)
might have more information about his creditworthiness than the investor. 
Credit ratings
should at least partially solve this information problem, by incorporating 
inside
information into the assigned ratings without disclosing specific details 
to the public
at large.

Investors, knowing the credit rating of a obligor, might rely on the 
rating instead of
looking into the underlying. In the light of the Basel II framework, also 
banks have several
incentives to make use of an *internal* rating system. Such credit ratings 
are then used to
estimate risk parameters that are the essential input to calculate their 
regulatory capital
requirements.

The most important risk parameter, resulting from credit ratings is the 
probability of
default (PD). Obviously, the accuracy of rating based PD-estimates is of 
increasing importance
for banks. This is true for banks developing their own rating system based 
on their own default
data as well as for banks seeking to purchase ratings from agencies.
For regulatory authorities, it is of increasing importance to compare 
these ratings from
different sources (banks, rating agencies) in order to prevent individual 
banks from running
into serious financial distress.

We will talk about a new approach to examine the accuracy of rating 
implied default
probabilities (PDs). Our  model estimates an obligor-specific consensus 
PD, which gives
supervisors the potential to analyze the heterogeneity of the existing 
rating systems.
The resulting model works in a dynamic framework, taking into account a 
macroeconomic variable
for the state of the economy as well as a time-dependent relationship 
between the different
rating system.

Zeit: Mittwoch, 10.6., 17:00 - 18:30.

!!! ACHTUNG NEUER ORT !!!

Ort:  Hoersaal 4
       Geozentrum
       Universitaetszentrum Althanstrasse
       1090 Wien

!!! HINWEISE ZUM ORT !!!

Das Universitaetszentrum Althanstrasse ist recht weitlaeufig:

  - Google-Maps:
    http://maps.google.com/maps?q=48.231364,+16.359179

  - Fulmek-Homepage:

http://www.mat.univie.ac.at/~mfulmek/documents/ss09/wegbeschreibung.shtml

Alle Informationen zu der Vortragsreihe finden Sie auf

    http://www.mat.univie.ac.at/~mfulmek/documents/ss09/ko-finmath.shtml

Mit besten Gruessen,

Markus Fulmek


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