How consistent are credit ratings?: a geographic and sectoral analysis of default risk
Board of Governors of the Federal Reserve System, 2000 - Credit ratings - 22 pages
"We examine differences in default rates by sector and obligor domicile. We find evidence that credit ratings have been imperfectly calibrated across issuer sectors in the past. Controlling for year of issue and rating, default rates appear to be higher for U.S. financial firms than for U.S. industrial firms. Sectoral differences in recovery rates do not offset the higher default rates. By contrast, we do not find significant differences in default rates between U.S. and foreign firms"--Federal Reserve Board web site.
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95 percent confidence ANALYSIS OF DEFAULT average fitted default average recovery Baal bank obligations bank rating Basel Committee Bond Ratings CONSISTENT ARE CREDIT Credit Rating Agencies credit risk default probabilities differences in default differences in recovery Engel John H estimated coefficient Exchange Rate expected losses Federal Reserve Bank Federal Reserve System Finance Discussion Papers fitted default rates foreign banks foreign firms Frank Packer GEOGRAPHIC AND SECTORAL higher default rates higher for U.S. home bias International Finance 1999 International Finance Discussion issuer defaulted issuer sectors Japan Center Japanese firms Jonathan H lower default rates Moody's Investors Service Moody's ratings obligor domicile One-Year Default Rates percent versus probability of default Probit Model rates for U.S. ratings composition risk weighting Salomon Smith Barney SECTORAL ANALYSIS sectoral differences Sovereign Standard and Poor's statistically significant Table Type of Issuer U.S. banks U.S. financial firms U.S. firms U.S. industrial firms U.S. non-financial firms Unrestricted model Varotto