NO.PZ2023090401000079
问题如下：
Question A Swiss chemical company is considering issuing bonds to finance its planned expansion. A risk analyst involved in the capital raising program at the company is studying the external agency rating process to gain a better understanding of the implications of agency ratings for the firm’s financing plans. Which of the following statements is correct?
选项：
A.Agency ratings tend to produce identical default rates for companies in the same industry but located in different countries.
B.Empirically, changes in bond and stock prices tend to be greater in cases of ratings downgrades than ratings upgrades.
C.Rating agencies produce point-in-time ratings, as these are designed to provide the best current estimate of future default probabilities.
D.Rating agencies provide outlooks to indicate the potential for a change in rating in the short-term, and use watchlists to indicate medium-term changes.
解释：
Explanation:
B is correct. Most researchers agree that stock and bond markets’ reactions to ratings downgrades are significant, while the reaction to upgrades is less pronounced.
A is incorrect. While rating agencies strive for geographic consistency, historical data shows divergence in default rates between, U.S., European, and emerging market firms.
C is incorrect. Rating agencies produce through-the-cycle ratings, which reflect the long-term creditworthiness of firms, and are consistent with rating agencies’ goal of ratings stability.
D is incorrect. Outlooks indicate the most likely direction of a rating over the medium term, while placing a rating on a watchlist indicates a relatively short-term change is anticipated (usually within three months).
Section: Valuation and Risk Models
Learning Objective: Describe external rating scales, the rating process and the link between ratings and default. Describe the relationships between changes in credit ratings and changes in stock prices, bond prices, and credit default swap spreads.
Reference: Global Association of Risk Professionals. Valuation and Risk Models. New York, NY: Pearson, 2022. Chapter 4. External and Internal Credit Ratings.
