Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/152557
Authors: 
Tabakis, Evangelos
Vinci, Anna
Year of Publication: 
2002
Series/Report no.: 
ECB Working Paper 123
Abstract: 
The last consultative papers of the Basel Committee on Banking Supervision set the path for a future where a wealth of credit assessment sources may be available. New external credit assessment institutions and internal ratings-based assessments will be added to ratings of major international rating agencies and to benchmark assessment methods used by supervisors or central banks. In its first part, this paper contributes to the development of a toolbox to analyse and compare credit assessments by examining the ratings of three leading rating agencies on a set of credit institutions. The analysis decomposes the historical default rate corresponding to a rating into two components drawing on a 'core' of published information and an 'analyst contribution'. In the second part of the paper, correlation and variance analysis of the analyst contributions lead to a combination of the available ratings, building on both the common core and the analyst part
JEL: 
C21
C51
G15
G21
G28
Document Type: 
Working Paper

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