La metodología de rating “through the cycle”: aplicación para la estimación de ratings soberanos
AbstractThis paper analyses the through-the-cycle rating concept; basically, we try to specify its main characteristics, focusing on the differences with point-in-time ratings. We also discuss the effects of this methodology on the prediction power of default probabilities, on the stability of those ratings, and their impact on the capital requirements that emerge from Basel II, in terms of their potential procyclicality. On the other hand, we argue how predictable rating changes are, and the ability of the agencies to look through the cycle when assigning qualifications. Based on that, we conclude about the way that economical fundamentals must be incorporated in rating calculations. We estimate a panel data model with random effects ordered probit, using data for the period 1997-2007.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 10458.
Date of creation: May 2008
Date of revision:
Credit Rating Methodology; Panel Data Ordered Probit;
Find related papers by JEL classification:
- F30 - International Economics - - International Finance - - - General
- C25 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions
- G20 - Financial Economics - - Financial Institutions and Services - - - General
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- Richard Cantor & Frank Packer, 1995. "Sovereign credit ratings," Current Issues in Economics and Finance, Federal Reserve Bank of New York, Federal Reserve Bank of New York, vol. 1(Jun).
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