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Deriving Consensus Ratings of the Big Three Rating Agencies

Grün, Bettina and Hofmarcher, Paul and Hornik, Kurt and Leitner, Christoph and Pichler, Stefan (2013) Deriving Consensus Ratings of the Big Three Rating Agencies. Journal of Credit Risk, 9 (1). pp. 75-98. ISSN 1744-6619

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This paper introduces a model framework for dynamic credit rating processes. Our framework aggregates ordinal rating information stemming from a variety of rating sources. The dynamic of the consensus rating captures systematic as well as idiosyncratic changes. In addition, our framework allows to validate the different rating sources by analyzing the mean/variance structure of the rating deviations. In an empirical study for the iTraxx Europe companies rated by the big three external rating agencies we use Bayesian techniques to estimate the consensus ratings for these companies. The advantages are illustrated by comparing our dynamic rating model to a naive benchmark model. (authors' abstract)

Item Type: Article
Additional Information: To see the final version of this paper please visit the publisher's website. Access to the published version may require a subscription.
Keywords: Bayesian estimation / consensus information / credit ratings / external rating agencies / rating validation
Divisions: Departments > Finance, Accounting and Statistics > Statistics and Mathematics > Hornik
Version of the Document: Accepted for Publication
Variance from Published Version: None
Depositing User: ePub Administrator
Date Deposited: 09 Dec 2013 11:17
Last Modified: 15 Mar 2017 07:56
FIDES Link: https://bach.wu.ac.at/d/research/results/62032/
URI: http://epub.wu.ac.at/id/eprint/4052

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