Internal ratings and bank opacity: Evidence from analysts’ forecasts
研究发现银行使用内部评级模型计算信用风险和资本要求会降低其不透明度，表现为分析师预测误差和分歧减小，尤其适用于最不透明的贷款和高级内部评级法。
We document that reliance on internal ratings-based (IRB) models to compute credit risk and capital requirements reduces bank opacity. Greater reliance on IRB models is associated with lower absolute forecast error and reduced disagreement among analysts regarding expected bank earnings per share. These results are stronger for banks that apply internal ratings to the most opaque loans and adopt the advanced version of IRB models, which entail a more granular risk assessment and greater disclosure of risk parameters. The results stem from the higher earnings informativeness and the more comprehensive disclosure of credit risk in banks adopting internal ratings. We employ an instrumental variables approach to validate our findings.