Deriving Consensus Ratings of the Big Three Rating Agencies
This paper introduces a model framework for dynamic credit rating processes. Our framework aggregates ordinal rating information stemming from a variety of rating sources. The dynamic of the consensus rating captures systematic as well as idiosyncratic changes. In addition, our framework allows to v...
| Main Authors: | , , , , |
|---|---|
| Format: | Others |
| Language: | en |
| Published: |
Incisive Financial Publishing
2013
|
| Subjects: | |
| Online Access: | http://epub.wu.ac.at/4052/1/consensus_Rev3.pdf |