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| SingRu Hoe, Srinivas Nippani and John David Diltz |
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| ''Should CAMELS ratings be publicly disclosed?'' |
| ( 2017, Vol. 37 No.3 ) |
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| We explore the optimal disclosure of CAMELS ratings. We employ a Stackelberg leader-follower model to obtain net social welfare from disclosure. We extend the model by incorporating dynamic stochastic optimization, resulting in an optimal stopping problem that we solve using variational inequalities. Optimal disclosure is characterized by an explicit ratio of social benefit to social cost. |
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| Keywords: CAMELS Ratings, Stackelberg Leader-Follower Game, Optimal Stopping, Variational Inequality |
JEL: Z0 - Other Special Topics: General
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| Manuscript Received : Jun 15 2017 | | Manuscript Accepted : Jul 16 2017 |
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