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http://hdl.handle.net/10419/27774
  
Title:Using a Bootstrap Approach to Rate the Raters PDF Logo
Authors:Güttler, André
Issue Date:2004
Series/Report no.:Working paper series / Johann-Wolfgang-Goethe-Universität Frankfurt am Main, Fachbereich Wirtschaftswissenschaften : Finance & Accounting 132
Abstract: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.
Subjects:Credit rating agencies
Validation
Bootstrap
JEL:G23
G15
Document Type:Working Paper
Appears in Collections:Working Paper Series: Finance and Accounting, Universität Frankfurt a. M.

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