Rating change probabilities: An empirical analysis of sovereign ratings
| Autor: | Alex Bergen |
|---|---|
| EAN: | 9783656470809 |
| eBook Format: | |
| Sprache: | Englisch |
| Produktart: | eBook |
| Veröffentlichungsdatum: | 30.07.2013 |
| Kategorie: | |
| Schlagworte: | Banking Econometrics Economics Finance Markov Chain Ordered Probit Model Rating Statistik Transition Matrix VWL Volkswirtschaftslehre Ökonometrie |
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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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