Using a bootstrap approach to rate the raters
This paper compares the accuracy of credit ratings of Moody s and Standard&Poors. Based on 11,428 issuer ratings and 350 defaults in several datasets from 1999 to 2003 a slight advantage for the rating system of Moody s is detected. Compared to former research the robustness of the results is increased by using nonparametric bootstrap approaches. Furthermore, robustness checks are made to control for the impact of Watchlist entries, staleness of ratings and the effect of unsolicited ratings on the results. JEL - Klassifikation: G23, G15
| Author: | André Güttler |
|---|---|
| URN: | urn:nbn:de:hebis:30-5674 |
| Series (Serial Number) | Working paper series / Johann-Wolfgang-Goethe-Universität Frankfurt am Main, Fachbereich Wirtschaftswissenschaften : Finance & Accounting (132) |
| Document Type: | Working Paper |
| Language: | English |
| Date of Publication (online): | 11.04.2005 |
| Year of first Publication: | 2004 |
| Publishing Institution: | Univ.-Bibliothek Frankfurt am Main |
| Tag: | Bootstrap; Credit rating agencies ; Validation |
| SWD-Keyword: | Auskunftei ; Kreditwürdigkeit ; Ratingagentur; Schätzung ; Statistischer Test ; Vereinigte Staaten ; Vergleich |
| Source: | Working paper series / Johann-Wolfgang-Goethe-Universität Frankfurt am Main, Fachbereich Wirtschaftswissenschaften : Finance & Accounting ; 132 |
| HeBIS PPN: | 128455489 |
| Institutes: | Wirtschaftswissenschaften |
| Dewey Decimal Classification: | 330 Wirtschaft |
| Sammlungen: | Universitätspublikationen |
| Licence (German): |  Veröffentlichungsvertrag für Publikationen ohne Print on Demand |
