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Using a Bootstrap Approach to Rate the Raters

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Author Info
André Güttler ()
Abstract

This paper compares the accuracy of credit ratings of Moody's and Standard and 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. Copyright Swiss Society for Financial Market Research 2005

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File URL: http://hdl.handle.net/10.1007/s11408-005-4693-1
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Publisher Info
Article provided by Springer in its journal Financial Markets and Portfolio Management.

Volume (Year): 19 (2005)
Issue (Month): 3 (October)
Pages: 277-295
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Handle: RePEc:kap:fmktpm:v:19:y:2005:i:3:p:277-295

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Web page: http://www.springerlink.com/link.asp?id=119763

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  1. R. Winkler & Javier Muñoz & José Cervera & José Bernardo & Gail Blattenberger & Joseph Kadane & Dennis Lindley & Allan Murphy & Robert Oliver & David Ríos-Insua, 1996. "Scoring rules and the evaluation of probabilities," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer, vol. 5(1), pages 1-60, June. [Downloadable!] (restricted)
  2. Hand, John R M & Holthausen, Robert W & Leftwich, Richard W, 1992. " The Effect of Bond Rating Agency Announcements on Bond and Stock Prices," Journal of Finance, American Finance Association, vol. 47(2), pages 733-52, June. [Downloadable!] (restricted)
  3. Cantor, Richard & Packer, Frank, 1997. "Differences of opinion and selection bias in the credit rating industry," Journal of Banking & Finance, Elsevier, vol. 21(10), pages 1395-1417, October. [Downloadable!] (restricted)
  4. Donald P. Morgan, 2002. "Rating Banks: Risk and Uncertainty in an Opaque Industry," American Economic Review, American Economic Association, vol. 92(4), pages 874-888, September. [Downloadable!]
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