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 
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.
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Metadaten
Author:André Güttler
URN:urn:nbn:de:hebis:30-5674
Parent Title (English):Universität Frankfurt am Main. Fachbereich Wirtschaftswissenschaften: [Working paper series / Finance and accounting] Working paper series, Finance & Accounting ; No. 132
Series (Serial Number):Working paper series / Johann-Wolfgang-Goethe-Universität Frankfurt am Main, Fachbereich Wirtschaftswissenschaften : Finance & Accounting (132)
Publisher:Univ., Fachbereich Wirtschaftswiss.
Place of publication:Frankfurt am Main
Document Type:Working Paper
Language:English
Year of Completion:2004
Year of first Publication:2004
Publishing Institution:Univ.-Bibliothek Frankfurt am Main
Release Date:2005/04/11
Tag:Bootstrap; Credit rating agencies ; Validation
SWD-Keyword:Auskunftei; Kreditwürdigkeit; Ratingagentur; Schätzung; Statistischer Test; Vereinigte Staaten; Vergleich
Pagenumber:38
HeBIS PPN:128455489
Institutes:Wirtschaftswissenschaften
Dewey Decimal Classification:330 Wirtschaft
JEL-Classification:G15 International Financial Markets
G23 Pension Funds; Other Private Financial Institutions
Sammlungen:Universitätspublikationen
Licence (German):License Logo Veröffentlichungsvertrag für Publikationen

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