Deriving Consensus Ratings of the Big Three Rating Agencies

Grün, Bettina and Hofmarcher, Paul and Hornik, Kurt and Leitner, Christoph and Pichler, Stefan (2010) Deriving Consensus Ratings of the Big Three Rating Agencies. Research Report Series / Department of Statistics and Mathematics, 99. Institute for Statistics and Mathematics, WU Vienna University of Economics and Business, Vienna.

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Abstract

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 errors. 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 benchmark model. (author´s abstract)

Item Type: Paper
Keywords: Bayesian estimation / consensus information / credit ratings / external rating agencies / rating validation
Classification Codes: RVK QH 233, QK 320
Divisions: Departments > Finance, Accounting and Statistics > Statistics and Mathematics
Depositing User: Repository Administrator
Date Deposited: 15 Mar 2010 10:45
Last Modified: 22 Oct 2019 00:41
URI: https://epub.wu.ac.at/id/eprint/728

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