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.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
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
This paper has been announced in the following NEP Reports:
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, 1995. "Sovereign credit ratings," Current Issues in Economics and Finance, Federal Reserve Bank of New York, issue Jun.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Ekkehart Schlicht).
If references are entirely missing, you can add them using this form.