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Rating Change Probabilities: An Empirical Analysis of Sovereign Ratings

Rating Change Probabilities: An Empirical Analysis of Sovereign Ratings

Paperback

Business General

ISBN10: 3954891565
ISBN13: 9783954891566
Publisher: Anchor Academic Publishing
Published: Jan 14 2015
Pages: 52
Weight: 0.18
Height: 0.12 Width: 5.83 Depth: 8.27
Language: English
This study analyzes the determinants of rating changes and the variables' marginal effects on rating change probabilities. Based on the results, it presents transition matrices by computing transition probabilities. Furthermore, this study analyzes subsamples of the data set, conditional on the business cycle and the economic strength of a country, by using interaction effects. The Author of this study thereby verifies whether or how the transition matrices change by including interaction effects. He applies 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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