Quotation Grün, Bettina, Hofmarcher, Paul, Hornik, Kurt, Leitner, Christoph, Pichler, Stefan. 2013. Deriving consensus ratings of the big three rating agencies. Journal of Credit Risk 9 (1): 75-98.


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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 us 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 with a naive benchmark model.

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Publication's profile

Status of publication Published
Affiliation WU
Type of publication Journal article
Journal Journal of Credit Risk
Citation Index SSCI
WU Journalrating 2009 A
WU-Journal-Rating new FIN-A, STRAT-B, WH-B
Language English
Title Deriving consensus ratings of the big three rating agencies
Volume 9
Number 1
Year 2013
Page from 75
Page to 98
URL http://www.risk.net/journal-of-credit-risk/technical-paper/2253183/deriving-consensus-ratings-of-the-big-three-rating-agencies

Associations

People
Grün, Bettina (Former researcher)
Hofmarcher, Paul (Details)
Hornik, Kurt (Details)
Leitner, Christoph (Details)
Pichler, Stefan (Details)
Organization
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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