Using a Bootstrap Approach to Rate the Raters

This paper compares the accuracy of credit ratings of Moody's and Standard&Poor's. 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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Year of publication:	2004
Authors:	Güttler, André
Publisher:	Frankfurt a. M. : Johann Wolfgang Goethe-Universität Frankfurt am Main, Fachbereich Wirtschaftswissenschaften
Subject:	Kreditwürdigkeit \| Auskunftei \| Statistischer Test \| Schätzung \| Vergleich \| Vereinigte Staaten \| Ratingagentur \| Validitäts \| Moody's Investors Service New York, NY \| Standard and Poor's Corporation New York, NY \| Credit rating agencies \| Validation \| Bootstrap

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Series:	Working Paper Series: Finance & Accounting ; 132
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	470046465 [GVK] hdl:10419/27774 [Handle]
Classification:	G23 - Pension Funds; Other Private Financial Institutions ; G15 - International Financial Markets
Source:	EconStor

Persistent link: https://ebvufind01.dmz1.zbw.eu/10010265098