Combining Bond Rating Forecasts Using Logit
AbstractThis paper uses the ordered logit regression combining method to form consensus forecasts from different individual bond rating forecasts, to predict bond ratings in the transportation and industrial sectors form Moody's bond rating service.
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Bibliographic InfoPaper provided by Department of Economics, Simon Fraser University in its series Discussion Papers with number dp98-10.
Length: 24 pages
Date of creation: 1998
Date of revision:
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Postal: Department of Economics, Simon Fraser University, 8888 University Drive, Burnaby, BC, V5A 1S6, Canada
Web page: http://www.sfu.ca/economics.html
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Postal: Working Paper Coordinator, Department of Economics, Simon Fraser University, 8888 University Drive, Burnaby, BC, V5A 1S6, Canada
Other versions of this item:
- C40 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - General
- C30 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - General
- G20 - Financial Economics - - Financial Institutions and Services - - - General
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
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- Altman, Edward I. & Rijken, Herbert A., 2004. "How rating agencies achieve rating stability," Journal of Banking & Finance, Elsevier, vol. 28(11), pages 2679-2714, November.
- Caporale, Guglielmo Maria & Matousek, Roman & Stewart, Chris, 2012.
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- Guglielmo Maria Caporale & Roman Matousek & Chris Stewart, 2009. "Rating Assignments: Lessons from International Banks," Discussion Papers of DIW Berlin 868, DIW Berlin, German Institute for Economic Research.
- Shen, Chung-Hua & Huang, Yu-Li & Hasan, Iftekhar, 2012.
"Asymmetric benchmarking in bank credit rating,"
Journal of International Financial Markets, Institutions and Money,
Elsevier, vol. 22(1), pages 171-193.
- Alexander B. Matthies, 2013. "Empirical Research on Corporate Credit-Ratings: A Literature Review," SFB 649 Discussion Papers SFB649DP2013-003, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
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