Quotation Grün, Bettina, Hofmarcher, Paul, Hornik, Kurt, Leitner, Christoph, Pichler, Stefan. 2010. Deriving Consensus Ratings of the Big Three Rating Agencies. Research Report Series, Institute for Statistics and Mathematics, Report 99.


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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.

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Publication's profile

Status of publication Published
Affiliation WU
Type of publication Working/discussion paper, preprint
Language English
Title Deriving Consensus Ratings of the Big Three Rating Agencies
Title of whole publication Research Report Series, Institute for Statistics and Mathematics, Report 99
Year 2010
URL https://bach.wu.ac.at/bachapp/kdcs/22291/RESULT

Associations

People
Grün, Bettina (Former researcher)
Hofmarcher, Paul (Details)
Hornik, Kurt (Details)
Leitner, Christoph (Details)
Pichler, Stefan (Details)
Organization
Institut f. Präsides SO (Details)
Institute for Statistics and Mathematics IN (Details)
Research Institute for Computational Methods FI (Details)
Institute for Finance, Banking and Insurance IN (Details)
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