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Rating calibration

Author

Listed:
  • Kateřina Myšková

    (Ústav statistiky a operačního výzkumu, Mendelova univerzita v Brně, Zemědělská 1, 613 00 Brno, Česká republika)

  • David Hampel

    (Ústav statistiky a operačního výzkumu, Mendelova univerzita v Brně, Zemědělská 1, 613 00 Brno, Česká republika)

Abstract

In this work we deal with the question of whether the evaluation of selected rating agencies is equivalent in some sense or not and whether it is possible to find a relationship between assessments. The fact that rating agencies affect not only financial market participants (by publication of companies or states ratings) is undeniable. On the one hand, these agencies are criticized for the rating changes, which have influence for example credit conditions for rated entity. On the other hand, ratings have a growing number of users for which ratings have become one of the few clues in today's complicated conditions powered by global financial crisis.For this purpose we use the calibration problem techniques, because calibration finds a relationship between two measurements, in our case between two independent assessments of rating agencies. Due to the nature of the data we assume that the relationship can be described by linear or quadratic function. So we use estimates derived for the one-dimensional linear calibration model with quadratic calibration function. This all we illustrate by the real ratings. The situation is complicated by the ordinal type data of the examined variables. Among other things, we discuss relations between ratings coming from particular rating agencies and evolution of this relation over time.

Suggested Citation

  • Kateřina Myšková & David Hampel, 2012. "Rating calibration," Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, Mendel University Press, vol. 60(2), pages 223-230.
    • Handle: RePEc:mup:actaun:actaun_2012060020223
    DOI: 10.11118/actaun201260020223
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