Deriving Consensus Ratings of the Big Three Rating Agencies

Publikation: Working/Discussion PaperWU Working Paper

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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.
OriginalspracheEnglisch
PublikationsstatusVeröffentlicht - 1 Dez. 2010

Publikationsreihe

NameResearch Report Series / Department of Statistics and Mathematics
Nr.99

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WU Working Paper Reihe

  • Research Report Series / Department of Statistics and Mathematics

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