How consistent are credit ratings? a geographic and sectoral analysis of default risk
AbstractWe 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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Bibliographic InfoPaper provided by Board of Governors of the Federal Reserve System (U.S.) in its series International Finance Discussion Papers with number 668.
Date of creation: 2000
Date of revision:
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)
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.:
- Donald P. Morgan, 1998. "Judging the risk of banks: what makes banks opaque?," Research Paper 9805, Federal Reserve Bank of New York.
- Richard Cantor & Frank Packer, 1994. "The credit rating industry," Quarterly Review, Federal Reserve Bank of New York, issue Sum, pages 1-26.
- Tabak, Benjamin M. & Luduvice, André Victor D. & Cajueiro, Daniel O., 2011.
"Modeling default probabilities: The case of Brazil,"
Journal of International Financial Markets, Institutions and Money,
Elsevier, vol. 21(4), pages 513-534, October.
- Benjamin M. Tabak & Daniel O. Cajueiro & A. Luduvice, 2011. "Modeling Default Probabilities: the case of Brazil," Working Papers Series 232, Central Bank of Brazil, Research Department.
- 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.).
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