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Rating change probabilities: An empirical analysis of sovereign ratings

Rating change probabilities: An empirical analysis of sovereign ratings

Paperback

Business GeneralInvesting & Finance

ISBN10: 3656470820
ISBN13: 9783656470823
Publisher: Grin Verlag
Published: Aug 5 2013
Pages: 54
Weight: 0.18
Height: 0.13 Width: 5.83 Depth: 8.27
Language: English
Bachelor Thesis from the year 2012 in the subject Business economics - Banking, Stock Exchanges, Insurance, Accounting, grade: 1,0, University of Mannheim, language: English, abstract: In my Bachelor thesis I analyze the determinants of rating changes and the variables'marginal effects on rating change probabilities. Based on my results, I present transition matrices by computing transition probabilities. Furthermore, I analyze subsamples of my data set, conditional on the business cycle and the economic strength of a country, by using interaction effects. I thereby verify whether or how the transition matrices change by including interaction effects. I apply a latent variable approach, using an ordered probit model, to calculate the effects of different variables on the probabilities of rating changes.

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Business General