Deriving Consensus Ratings of the Big Three Rating Agencies

IF 0.3 4区经济学 Q4 Economics, Econometrics and Finance

Journal of Credit Risk Pub Date : 2013-03-27 DOI:10.21314/JCR.2013.156

B. Grün, Paul Hofmarcher, K. Hornik, C. Leitner, Stefan Pichler

引用次数: 8

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. (author´s abstract)

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获得三大评级机构的一致评级

本文介绍了一个动态信用评级过程的模型框架。我们的框架聚合了来自各种评级来源的有序评级信息。共识评级的动态反映了系统性和特殊性的变化。此外，我们的框架允许通过分析评级误差的均值/方差结构来验证不同的评级来源。在对三大外部评级机构评级的iTraxx欧洲公司的实证研究中，我们使用贝叶斯技术来估计这些公司的共识评级。通过将我们的动态评级模型与基准模型进行比较，可以说明其优点。(作者´s文摘)

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of Credit Risk BUSINESS, FINANCE-

CiteScore

0.90

自引率

0.00%

发文量

期刊介绍： With the re-writing of the Basel accords in international banking and their ensuing application, interest in credit risk has never been greater. The Journal of Credit Risk focuses on the measurement and management of credit risk, the valuation and hedging of credit products, and aims to promote a greater understanding in the area of credit risk theory and practice. The Journal of Credit Risk considers submissions in the form of research papers and technical papers, on topics including, but not limited to: Modelling and management of portfolio credit risk Recent advances in parameterizing credit risk models: default probability estimation, copulas and credit risk correlation, recoveries and loss given default, collateral valuation, loss distributions and extreme events Pricing and hedging of credit derivatives Structured credit products and securitizations e.g. collateralized debt obligations, synthetic securitizations, credit baskets, etc. Measuring managing and hedging counterparty credit risk Credit risk transfer techniques Liquidity risk and extreme credit events Regulatory issues, such as Basel II, internal ratings systems, credit-scoring techniques and credit risk capital adequacy.