How consistent are credit ratings? a geographic and sectoral analysis of default risk

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How consistent are credit ratings? a geographic and sectoral analysis of default risk

Author Info

John Ammer
Frank Packer

Abstract

We examine differences in default rates by sector and obligor domicile. We find evidence that credit ratings have been imperfectly calibrated across issuer sectors in the past. Controlling for year of issue and rating, default rates appear to be higher for U.S. financial firms than for U.S. industrial firms. Sectoral differences in recovery rates do not offset the higher default rates. By contrast, we do not find significant differences in default rates between U.S. and foreign firms.

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Paper provided by Board of Governors of the Federal Reserve System (U.S.) in its series International Finance Discussion Papers with number 668.

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Date of creation: 2000
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Handle: RePEc:fip:fedgif:668

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Related research
Keywords: Credit ratings ; Risk;

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This paper has been announced in the following NEP Reports:

NEP-ALL-2000-07-11 (All new papers)
NEP-CFN-2000-07-11 (Corporate Finance)
NEP-FMK-2000-07-11 (Financial Markets)
NEP-IAS-2000-07-11 (Insurance Economics)

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

Richard Cantor & Frank Packer, 1994. "The credit rating industry," Quarterly Review, Federal Reserve Bank of New York, issue Sum, pages 1-26.
Donald P. Morgan, 1998. "Judging the risk of banks: what makes banks opaque?," Research Paper 9805, Federal Reserve Bank of New York. [Downloadable!]

Full references

Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

Mark Carey & Greg Nini, 2004. "Is the corporate loan market globally integrated? a pricing puzzle," International Finance Discussion Papers 813, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
André Güttler & Mark Wahrenburg, 2007. "The Adjustment of Credit Ratings in Advance of Defaults," Working Paper Series: Finance and Accounting 155, Department of Finance, Goethe University Frankfurt am Main. [Downloadable!]

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This page was last updated on 2009-11-18.

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